{"id":"https://openalex.org/W4404164226","doi":"https://doi.org/10.1287/mnsc.2023.00261","title":"An Intertemporal Risk Factor Model","display_name":"An Intertemporal Risk Factor Model","publication_year":2024,"publication_date":"2024-11-08","ids":{"openalex":"https://openalex.org/W4404164226","doi":"https://doi.org/10.1287/mnsc.2023.00261"},"language":"en","primary_location":{"id":"doi:10.1287/mnsc.2023.00261","is_oa":false,"landing_page_url":"https://doi.org/10.1287/mnsc.2023.00261","pdf_url":null,"source":{"id":"https://openalex.org/S33323087","display_name":"Management Science","issn_l":"0025-1909","issn":["0025-1909","1526-5501"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5088083059","display_name":"Fousseni Chabi-Yo","orcid":"https://orcid.org/0000-0001-8200-9372"},"institutions":[{"id":"https://openalex.org/I24603500","display_name":"University of Massachusetts Amherst","ror":"https://ror.org/0072zz521","country_code":"US","type":"education","lineage":["https://openalex.org/I24603500"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Fousseni Chabi-Yo","raw_affiliation_strings":["Isenberg School of Management, University of Massachusetts, Amherst, Massachusetts 01003","Isenberg School of Management, University of Massachusetts, Amherst, Massachusetts 01003;"],"affiliations":[{"raw_affiliation_string":"Isenberg School of Management, University of Massachusetts, Amherst, Massachusetts 01003","institution_ids":["https://openalex.org/I24603500"]},{"raw_affiliation_string":"Isenberg School of Management, University of Massachusetts, Amherst, Massachusetts 01003;","institution_ids":["https://openalex.org/I24603500"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5015118633","display_name":"Andrei S. Gon\u00e7alves","orcid":"https://orcid.org/0000-0002-6872-5361"},"institutions":[{"id":"https://openalex.org/I2799283415","display_name":"Fisher College","ror":"https://ror.org/02a3j1p21","country_code":"US","type":"education","lineage":["https://openalex.org/I2799283415"]},{"id":"https://openalex.org/I52357470","display_name":"The Ohio State University","ror":"https://ror.org/00rs6vg23","country_code":"US","type":"education","lineage":["https://openalex.org/I52357470"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Andrei S. Gon\u00e7alves","raw_affiliation_strings":["Fisher College of Business, The Ohio State University, Columbus, Ohio 43210","Fisher College of Business, The Ohio State University, Columbus, Ohio 43210;"],"affiliations":[{"raw_affiliation_string":"Fisher College of Business, The Ohio State University, Columbus, Ohio 43210","institution_ids":["https://openalex.org/I2799283415","https://openalex.org/I52357470"]},{"raw_affiliation_string":"Fisher College of Business, The Ohio State University, Columbus, Ohio 43210;","institution_ids":["https://openalex.org/I2799283415","https://openalex.org/I52357470"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049793451","display_name":"Johnathan Loudis","orcid":"https://orcid.org/0000-0002-8722-1564"},"institutions":[{"id":"https://openalex.org/I107639228","display_name":"University of Notre Dame","ror":"https://ror.org/00mkhxb43","country_code":"US","type":"education","lineage":["https://openalex.org/I107639228"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Johnathan A. Loudis","raw_affiliation_strings":["Mendoza College of Business, University of Notre Dame, Notre Dame, Indiana 46556"],"affiliations":[{"raw_affiliation_string":"Mendoza College of Business, University of Notre Dame, Notre Dame, Indiana 46556","institution_ids":["https://openalex.org/I107639228"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5088083059"],"corresponding_institution_ids":["https://openalex.org/I24603500"],"apc_list":null,"apc_paid":null,"fwci":1.1249,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.80605579,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"71","issue":"8","first_page":"6518","last_page":"6544"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9983000159263611,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9983000159263611,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9894000291824341,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9890999794006348,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5074025988578796},{"id":"https://openalex.org/keywords/factor","display_name":"Factor (programming language)","score":0.47134798765182495},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4409184753894806},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.27669757604599}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5074025988578796},{"id":"https://openalex.org/C2781039887","wikidata":"https://www.wikidata.org/wiki/Q1391724","display_name":"Factor (programming language)","level":2,"score":0.47134798765182495},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4409184753894806},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.27669757604599},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1287/mnsc.2023.00261","is_oa":false,"landing_page_url":"https://doi.org/10.1287/mnsc.2023.00261","pdf_url":null,"source":{"id":"https://openalex.org/S33323087","display_name":"Management Science","issn_l":"0025-1909","issn":["0025-1909","1526-5501"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Management Science","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4099999964237213,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":69,"referenced_works":["https://openalex.org/W1573905987","https://openalex.org/W1574786337","https://openalex.org/W1867452333","https://openalex.org/W1974449776","https://openalex.org/W1979878470","https://openalex.org/W1985201787","https://openalex.org/W1995834279","https://openalex.org/W2010681793","https://openalex.org/W2022220920","https://openalex.org/W2038601479","https://openalex.org/W2047134779","https://openalex.org/W2097343436","https://openalex.org/W2104795328","https://openalex.org/W2106423352","https://openalex.org/W2113208252","https://openalex.org/W2117178635","https://openalex.org/W2122336029","https://openalex.org/W2123518587","https://openalex.org/W2126434678","https://openalex.org/W2134807435","https://openalex.org/W2136120210","https://openalex.org/W2144570112","https://openalex.org/W2149990348","https://openalex.org/W2157638220","https://openalex.org/W2165764494","https://openalex.org/W2166406699","https://openalex.org/W2257263437","https://openalex.org/W2312560584","https://openalex.org/W2578590383","https://openalex.org/W2617488289","https://openalex.org/W2890406305","https://openalex.org/W2944770027","https://openalex.org/W2964125295","https://openalex.org/W3012185131","https://openalex.org/W3021190191","https://openalex.org/W3121251221","https://openalex.org/W3121467893","https://openalex.org/W3121604599","https://openalex.org/W3122118888","https://openalex.org/W3122344187","https://openalex.org/W3122901166","https://openalex.org/W3122930026","https://openalex.org/W3123066889","https://openalex.org/W3123099641","https://openalex.org/W3123178375","https://openalex.org/W3123372976","https://openalex.org/W3123480286","https://openalex.org/W3123639445","https://openalex.org/W3123736679","https://openalex.org/W3124154869","https://openalex.org/W3124257267","https://openalex.org/W3124492184","https://openalex.org/W3124527604","https://openalex.org/W3124536539","https://openalex.org/W3124550551","https://openalex.org/W3124640946","https://openalex.org/W3125172714","https://openalex.org/W3125206904","https://openalex.org/W3125467723","https://openalex.org/W3126003609","https://openalex.org/W3131102529","https://openalex.org/W4211100651","https://openalex.org/W4230576380","https://openalex.org/W4237239309","https://openalex.org/W4243277903","https://openalex.org/W4243760387","https://openalex.org/W4253208548","https://openalex.org/W4256580786","https://openalex.org/W4392438517"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W1502198272","https://openalex.org/W2017540542","https://openalex.org/W2006758266","https://openalex.org/W2066504725","https://openalex.org/W1527813328","https://openalex.org/W2073254488","https://openalex.org/W2104764082","https://openalex.org/W2070530935","https://openalex.org/W1549310245"],"abstract_inverted_index":{"Prominent":[0],"factor":[1,22,87,113],"models":[2,114],"are":[3,95,159],"based":[4,49],"on":[5,50,137],"tradable":[6,60],"factors":[7,45,61],"that":[8,24,94],"do":[9],"not":[10],"represent":[11],"theoretically":[12],"relevant":[13],"risks.":[14],"To":[15],"address":[16],"this":[17],"issue,":[18],"we":[19,41],"develop":[20],"a":[21],"model":[23,38,88,107],"captures":[25],"the":[26,33,75,98],"risks":[27],"to":[28,53,64,111],"long-term":[29,65],"investors":[30],"present":[31],"in":[32,79,115],"intertemporal":[34,43,86],"capital":[35],"asset":[36],"pricing":[37,124],"(ICAPM).":[39],"Empirically,":[40],"construct":[42],"risk":[44,92,103,138],"as":[46],"long-short":[47],"portfolios":[48,135],"stock":[51],"exposures":[52,139],"dividend":[54],"yield":[55],"and":[56,68,70,122,134,140,156],"realized":[57],"variance.":[58],"These":[59],"mimic":[62],"news":[63],"expected":[66],"returns":[67],"volatility,":[69],"they":[71],"offset":[72],"part":[73],"of":[74,117,125],"marginal":[76],"utility":[77],"increase":[78],"recessions":[80],"induced":[81],"by":[82,147],"wealth":[83],"declines.":[84],"Our":[85],"estimation":[89],"implies":[90],"significant":[91],"prices":[93],"consistent":[96],"with":[97],"ICAPM":[99],"restrictions":[100],"under":[101],"moderate":[102],"aversion.":[104],"Moreover,":[105],"our":[106],"performs":[108],"well":[109],"relative":[110],"previous":[112],"terms":[116],"its":[118,123],"tangency":[119],"Sharpe":[120],"ratio":[121],"key":[126],"test":[127],"assets,":[128],"including":[129],"single":[130],"stocks,":[131],"industry":[132],"portfolios,":[133],"sorted":[136],"lagged":[141],"anomalies.":[142],"This":[143],"paper":[144],"was":[145],"accepted":[146],"Will":[148],"Cong,":[149],"finance.":[150],"Supplemental":[151],"Material:":[152],"The":[153],"online":[154],"appendix":[155],"data":[157],"files":[158],"available":[160],"at":[161],"https://doi.org/10.1287/mnsc.2023.00261":[162],".":[163]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
