caa a22 4500 388047747 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199806 xx s 000 0 eng 10.2307/2331308 doi S0022109000000922 pii (NATIONALLICENCE)cambridge-10.2307/2331308 Fama Eugene F. Graduate School of Business, University of Chicago, 1101 East 58th Street Chicago, IL 60637. Determining the Number of Priced State Variables in the ICAPM [Elektronische Daten] [Eugene F. Fama] Suppose the ICAPM governs asset prices and there is a total of S state variables that might be of hedging concern to investors. Can we determine which state variables are, in fact, of hedging concern? What does it mean to say that these state variables are priced, that is, that they give rise to special risk premiums in expected returns? The goal of this paper is to formulate this problem clearly and show when it can and cannot be solved. Ignoring estimation problems, it is possible to find the set of priced state variables when the state variables are identified (named). When we know the number of state variables, but not their names, confident conclusions about even the number of them that produce special risk premiums are probably impossible, unless the number is zero, so the ICAPM collapses to the CAPM. Copyright © School of Business Administration, University of Washington 1998 Journal of Financial and Quantitative Analysis Cambridge University Press 33/2(1998-06), 217-231 0022-1090 33:2<217 1998 33 JFQ https://doi.org/10.2307/2331308 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331308 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Fama Eugene F. Graduate School of Business, University of Chicago, 1101 East 58th Street Chicago, IL 60637 NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/2(1998-06), 217-231 0022-1090 33:2<217 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge