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Short-Horizon Beta or Long-Horizon Alpha?

Avraham Kamara, Robert Korajczyk, Xiaoxia Lou and Ronnie Sadka
The Journal of Portfolio Management Fall 2018, 45 (1) 96-105; DOI: https://doi.org/10.3905/jpm.2018.45.1.096
Avraham Kamara
is the William W. Alberts endowed professor of finance in the Foster School of Business at the University of Washington in Seattle, WA
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Robert Korajczyk
is the Harry G. Guthmann professor of finance in the Kellogg School of Management at Northwestern University in Evanston, IL
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Xiaoxia Lou
is an associate professor of finance in the Alfred Lerner College of Business and Economics at the University of Delaware in Newark, DE
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Ronnie Sadka
is a professor of finance and the Seidner Family Faculty Fellow in the Carroll School of Management at Boston College in ChestnutHill, MA
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Abstract

The authors study whether the pricing of systematic factors depends on the investment horizon over which risk is measured. Market beta and Fama–French value beta are priced when risk is measured over intermediate horizons, and liquidity beta is priced over short horizons. Alpha on a long–short portfolio formed on short-horizon liquidity beta increases monotonically as an investor’s horizon (for measuring risk) increases, making those assets more attractive to long-horizon investors. Institutional investors align their portfolios to harvest risk premiums that are important to investors with horizons different from their own.

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The Journal of Portfolio Management: 45 (1)
The Journal of Portfolio Management
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Fall 2018
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Short-Horizon Beta or Long-Horizon Alpha?
Avraham Kamara, Robert Korajczyk, Xiaoxia Lou, Ronnie Sadka
The Journal of Portfolio Management Oct 2018, 45 (1) 96-105; DOI: 10.3905/jpm.2018.45.1.096

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Short-Horizon Beta or Long-Horizon Alpha?
Avraham Kamara, Robert Korajczyk, Xiaoxia Lou, Ronnie Sadka
The Journal of Portfolio Management Oct 2018, 45 (1) 96-105; DOI: 10.3905/jpm.2018.45.1.096
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