Short-horizon beta or long-horizon alpha?

We study whether the pricing of systematic factors depends on the investment horizon over which risk is measured. The Fama-French value beta is priced when risk is measured over intermediate horizons, while liquidity beta is priced over short horizons; size and momentum betas are not priced as risk factors. Long-horizon institutional investors overweight assets with high intermediate-horizon exposures to value beta and high short-horizon exposures to liquidity beta. The results suggest that what looks like a beta premium to investors with a short or intermediate investment horizon may look like alpha to investors with long investment horizons.