RT Journal Article
SR Electronic
T1 Short-Horizon Beta or Long-Horizon Alpha?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 96
OP 105
DO 10.3905/jpm.2018.45.1.096
VO 45
IS 1
A1 Avraham Kamara
A1 Robert Korajczyk
A1 Xiaoxia Lou
A1 Ronnie Sadka
YR 2018
UL https://pm-research.com/content/45/1/96.abstract
AB 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.TOPICS: Analysis of individual factors/risk premia, portfolio construction, risk management