This paper highlights a positive and significant beta-return relationship in high expected market return states, as suggested by the ICAPM. The ICAPM has strong out-of-sample predictive power for equity returns. As a result, timing strategies exploiting this predictive power have Sharpe ratios about double those of the buy-and-hold strategies, alphas of about 5% per annum, and average returns increasing sharply with unconditional betas. Our findings relate to the positive beta-return relation uncovered overnight, on macroeconomic announcement days, and in low inflation times because these periods share an important common feature: high market returns. (JEL D53, G11, G12)

中文翻译：

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ICAPM 的股本回报可预测性

本文强调了 ICAPM 所建议的在高预期市场回报状态下存在积极且显着的贝塔回报关系。ICAPM 对股票回报具有强大的样本外预测能力。因此，利用这种预测能力的择时策略的夏普比率约为买入并持有策略的两倍，每年的阿尔法约为 5%，平均回报率随着无条件贝塔而急剧增加。我们的研究结果与隔夜、宏观经济公告日和低通胀时期发现的正贝塔回报关系有关，因为这些时期有一个重要的共同特征：高市场回报。(JEL D53、G11、G12)