Short-Horizon Beta or Long-Horizon Alpha?
研究了系统性因子定价是否取决于衡量风险的投资期限，发现市场贝塔和价值贝塔在中期期限定价，流动性贝塔在短期定价，且短期流动性贝塔的多空组合阿尔法随投资者期限增加而单调上升。
The authors study whether the pricing of systematic factors depends on the investment horizon over which risk is measured. Market beta and Fama–French value beta are priced when risk is measured over intermediate horizons, and liquidity beta is priced over short horizons. Alpha on a long–short portfolio formed on short-horizon liquidity beta increases monotonically as an investor’s horizon (for measuring risk) increases, making those assets more attractive to long-horizon investors. Institutional investors align their portfolios to harvest risk premiums that are important to investors with horizons different from their own. <b>TOPICS:</b>Analysis of individual factors/risk premia, portfolio construction, risk management