PT - JOURNAL ARTICLE AU - Avraham Kamara AU - Robert Korajczyk AU - Xiaoxia Lou AU - Ronnie Sadka TI - Short-Horizon Beta or Long-Horizon Alpha? AID - 10.3905/jpm.2018.45.1.096 DP - 2018 Oct 31 TA - The Journal of Portfolio Management PG - 96--105 VI - 45 IP - 1 4099 - https://pm-research.com/content/45/1/96.short 4100 - https://pm-research.com/content/45/1/96.full AB - 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