van der Zwan, T., Hennink, E. and Tuijp, P. (2026). Equity risk factors for the long and short run: Pricing and performance at different frequencies Journal of Empirical Finance, 87.

This paper introduces a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows for horizon-dependent risk exposures, consistent with the idea that investors with different investment horizons may respond differently to systematic risk. Empirical results show that frequency-specific ICAPM specifications outperform traditional models and attain goodness of fit comparable to benchmark Fama–French factor models. Our frequency-specific ICAPM results show significant prices of risk concentrated at horizons beyond three years. Our approach reveals novel low-frequency pricing information in ICAPM factors, with risk prices broadly consistent with ICAPM theory.