The Duration Factor

Posted: 11 Dec 2015

Date Written: December 10, 2015

Abstract

John Rae’s inter-temporal choices explained the statistical nature of human behavior in 1834. However, despite the subject’s insight in the objectiveness of behavior, inter-temporal choices remains a peripheral science. This paper takes a sequential approach to question how inter-temporal choices could be behind human behavior, behavioral anomalies and even market anomalies. If these inter-temporal anomalies were consistent, unarbitrageable and explain asset returns better than the Fama and French Factor model, this could further our understanding of asset pricing models by establishing a new duration factor which could subsume both size and value factors.

Keywords: Factor, Size, Value, Duration

JEL Classification: A00, A10

Suggested Citation

Pal, Mukul, The Duration Factor (December 10, 2015). Available at SSRN: https://ssrn.com/abstract=2702170 or http://dx.doi.org/10.2139/ssrn.2702170

Mukul Pal (Contact Author)

AlphaBlock ( email )

Toronto, Ontario M8Z 2H6
Canada

HOME PAGE: http://www.alphablock.org

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