סמינר במימון חשבונאות
Horizon Pricing
Prof. Ronnie Sadka, Carroll School of Management, Boston College
11 ביוני 2013, 14:00
בניין רקנאטי ,חדר 408
An extensive literature documents heterogeneity in the delay of stock-price reaction to
systematic shocks, implying that relevant asset risk depends on investment horizon. We
study pricing of common risk factors across investment horizons. We
nd that liquidity
risk is priced over short horizons and market risk is priced over intermediate horizons.
Value/growth risk is priced over long horizons and as a non-risk-based characteristic at
all horizons. Size and momentum are priced as characteristics rather than risk factors at
all horizons. The results highlight the importance of investment horizon in determining
risk premia.
