An Intertemporal Risk Factor Model

The authors are grateful for the insightful suggestions from Will Cong (the editor), one anonymous associate editor, and two anonymous referees. The authors also thank John Campbell, Andrew Chen, Jennifer Conrad, Eric Ghysels, Stefano Giglio, Kewei Hou, Raymond Kan (discussant), Bryan Kelly, Tim Loughran, Giorgio Ottonello (discussant), Sydney Ludvigson, Shrihari Santosh, Ivan Shaliastovich, René Stulz, Stefan Nagel, Andrea Tamoni, Chen Xue, Lu Zhang, and Irina Zviadadze (discussant) as well as seminar participants at the New York University, The Ohio State University, the University of North Carolina at Chapel Hill, the University of Notre Dame, the City University of Hong Kong, the University of Southern California Macro-Finance Workshop, the Triangle Macro-Finance Workshop, the 2021 Midwest Finance Association Meeting, the 2021 LubraFin Conference, and the 2022 China International Conference in Finance for helpful inputs. All remaining errors are the authors’ own.