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

March 5, 2013


Abstract:     
An extensive literature documents heterogeneity in the delay of stock-price reaction to systematic shocks, implying that relevant asset risk depends on investment horizon. We study pricing of common risk factors across investment horizons. We find that liquidity risk is priced over short horizons and market risk is priced over intermediate horizons. Value/growth risk is priced over long horizons and as a non-risk-based characteristic at all horizons. Size and momentum are priced as characteristics rather than risk factors at all horizons. The results highlight the importance of investment horizon in determining risk premia.

Number of Pages in PDF File: 48

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

JEL Classification: G1, G12, G14

working papers series


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Date posted: July 22, 2012 ; Last revised: March 6, 2013

Suggested Citation

Kamara, Avraham and Korajczyk, Robert A. and Lou, Xiaoxia and Sadka, Ronnie, Horizon Pricing (March 5, 2013). 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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