Title:

Multifactor Models and Their Consistency with the ICAPM

Authors:

Paulo Maio (Hanken School of Economics, Helsinki)
Pedro Santa Clara (U Nova)

Journal:

Journal of Financial Economics

Year:

2012

Volume:

106

Number:

3

Pages:

586-613

JEL codes:

C58 - Financial Econometrics
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.jfineco.2012.07.001