Horizon Effects in Average Returns: The Role of Slow Information Diffusion
研究发现，当股票信息扩散缓慢时，短期平均回报存在向下偏差，买入持有策略会放大该效应，在日度和月度风格组合及国际指数中观察到高达10%的年化期限效应，对绩效评估有重要影响。
We characterize linkages between average returns calculated at different horizons. Theoretically, when stocks incorporate information slowly, average short-horizon returns are downward biased. Buy-and-hold strategies can amplify the effect. In contrast, existing theories analyze price noises that are independent of fundamentals, and buy-and-hold portfolio returns are unaffected. We document horizon effects as large as 10% annualized in daily and monthly style portfolios and international indices. Slow reaction to market information, identified by gradually declining lagged betas, is an important cause. These findings have natural consequences for performance evaluation. Received July 2, 2012; accepted June 28, 2015 by Editor Andrew Karolyi.