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Horizon Pricing

delete2016-12-29
delete51
PRE
AI
A
Avraham Kamara
R
Robert A. Korajczyk *
X
Xiaoxia Lou
R
Ronnie Sadka
DOI：10.1017/S0022109016000685delete
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摘要

摘要

En 中文
The literature documents heterogeneity in the delay of stock price reaction to systematic shocks, implying that asset risk depends on investment horizon. We study the pricing of risk factors across investment horizons. Value (liquidity) risk is priced over intermediate (short) horizons. Conditioning horizon-factor exposures on firm characteristics indicates that characteristics, with the exception of momentum, are not priced beyond their contribution to systematic risk. Long-horizon institutional investors overweight assets with high intermediate-horizon exposures to value risk and high short-horizon exposures to liquidity risk. The results highlight the importance of investment horizon in determining risk premia.
Keyword:
CAPITAL-ASSET PRICES
CROSS-SECTION
STOCK-MARKET
OPTIMAL INATTENTION
PORTFOLIO CHOICE
RETURNS
RISK
EQUILIBRIUM
CONTRARIAN
LIQUIDITY
AI总结

AI总结

对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。

期刊

Journal of Financial and Quantitative Analysis 封面图
Journal of Financial and Quantitative Analysis
IF:
2.8
论文数:
2.3K
被引数:
1.0W

机构

U
University of Delaware
学者数:
1.3W
论文数: 1.3W
被引数: 2.0W
U
University of Washington
学者数:
8.0W
论文数: 7.0W
被引数: 12.5W
N
Northwestern University
学者数:
6.1W
论文数: 5.3W
被引数: 3.9K
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