University of Washington - Michael G. Foster School of Business
Robert A. Korajczyk
Northwestern University - Kellogg School of Management
University of Delaware - Alfred Lerner College of Business and Economics
Boston College - Carroll School of Management
March 5, 2013
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, G14working papers series
Date posted: July 22, 2012 ; Last revised: March 6, 2013
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