We empirically evaluate whether the profitability and investment factors from Novy-Marx (2013) and Fama and French (2015, 2018) are compatible with Merton’s (1973) intertemporal CAPM (ICAPM) framework in the pre-1963 period. We show that: (i) the covariance risk price estimates of the profitability factors are positive and statistically significant, which indicates that they have explanatory power with respect to the cross-section of stock returns; (ii) the investment factors carry insignificant covariance risk prices and are therefore not valid ICAPM risk factors; and (iii) the profitability factors forecast the first moment of the aggregate stock return and economic activity with the correct sign, which is consistent with their positive covariance risk price estimates and satisfies the sign restrictions associated with the ICAPM.

我们实证评估了 Novy-Marx (2013) 和 Fama and French (2015, 2018) 的盈利能力和投资因素是否与 Merton (1973) 1963 年之前时期的跨期 CAPM (ICAPM) 框架兼容。我们表明：(i) 盈利因素的协方差风险价格估计是正的且具有统计显着性，这表明它们对股票收益的横截面具有解释力；(ii) 投资因素的协方差风险价格不显着，因此不是有效的 ICAPM 风险因素；(iii) 盈利因子以正确的符号预测总股票收益和经济活动的第一时刻，这与其正协方差风险价格估计一致，并满足与 ICAPM 相关的符号限制。