TY - JOUR T1 - Short-Horizon Beta or Long-Horizon Alpha? JF - The Journal of Portfolio Management SP - 96 LP - 105 DO - 10.3905/jpm.2018.45.1.096 VL - 45 IS - 1 AU - Avraham Kamara AU - Robert Korajczyk AU - Xiaoxia Lou AU - Ronnie Sadka Y1 - 2018/10/31 UR - https://pm-research.com/content/45/1/96.abstract N2 - 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.TOPICS: Analysis of individual factors/risk premia, portfolio construction, risk management ER -