Conditional Dynamics and the Multihorizon Risk-Return Trade-Off
提出用多期收益率检验资产定价模型，发现线性因子模型对长期收益率定价误差大，且加入因子择时反而恶化错误，对金融学者评估模型有用。
Abstract We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and show that these models typically do a poor job of pricing longer-horizon returns, with pricing errors that are similar in magnitude to the risk premiums they were designed to explain. We trace the errors to the conditional factor dynamics. Explicitly incorporating factor timing into the models often makes mispricing worse, thereby posing a challenge for future research.