capture information related to changes in the investment opportunity set and therefore may appropriate candidates as state … variables within Merton's (1973) ICAPM framework. Consistent with prior literature that relates them to macroeconomic risk, the … shown in previous literature to predict future market returns. This result suggests that this factor is not a risk factor …

describing risk-return relation of Croatian stocks. This paper shows that the Fama-French three-factor model is a valid pricing … missed by the market factor. Moreover, B/M factor has shown as a stronger common risk proxy in relation to size factor …