Time Diversification: Empirical Tests
用近两百年美英数据检验股票表现与投资期限的关系，发现长期持有股票可能更好，但结果受风险偏好、效用函数、样本期等因素影响，且美英市场有差异。
This paper investigates the relationship between the performance of equity and the length of the investment horizon used by investors. We examine optimal portfolio time diversification and two definitions of ex ante time diversification. Using almost two centuries of US and UK data we find some support for the hypothesis that equity represents a significantly better investment over long investment horizons than over short investment horizons. Where this result holds, the likely explanation is mean‐aversion in fixed‐income asset returns. However, these results are sensitive to changes in investor risk preference, changes in utility function specification, changes in the sample period used, changes in investor constraints, and the definition of time diversification adopted. They also differ between the US and UK markets.