Abstract

http://ssrn.com/abstract=2114987
 
 

References (51)



 


 



Horizon Pricing


Avraham Kamara


University of Washington - Michael G. Foster School of Business

Robert A. Korajczyk


Northwestern University - Kellogg School of Management

Xiaoxia Lou


University of Delaware - Alfred Lerner College of Business and Economics

Ronnie Sadka


Boston College - Carroll School of Management

April 11, 2015

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Abstract:     
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 HML risk and high short-horizon exposures to liquidity risk. The results highlight the importance of investment horizon in determining risk premia.

Number of Pages in PDF File: 59

Keywords: asset pricing model, investment horizon, factors, characteristics

JEL Classification: G1, G12, G14


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Date posted: July 22, 2012 ; Last revised: April 17, 2015

Suggested Citation

Kamara, Avraham and Korajczyk, Robert A. and Lou, Xiaoxia and Sadka, Ronnie, Horizon Pricing (April 11, 2015). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: http://ssrn.com/abstract=2114987 or http://dx.doi.org/10.2139/ssrn.2114987

Contact Information

Avraham Kamara
University of Washington - Michael G. Foster School of Business ( email )
Box 353200
Seattle, WA 98195-3200
United States
206-543-0652 (Phone)
206-221-6856 (Fax)
Robert A. Korajczyk (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)
Xiaoxia Lou
University of Delaware - Alfred Lerner College of Business and Economics ( email )
Newark, DE 19716
United States
Ronnie Sadka
Boston College - Carroll School of Management ( email )
140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States
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