Short-horizon beta or long-horizon alpha?, Journal of Portfolio Management
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.
Avraham Kamara, Robert Korajczyk, Xiaoxia Lou, Ronnie Sadka
Kamara, Avraham, Robert Korajczyk, Xiaoxia Lou, and Ronnie Sadka. 2018. Short-horizon beta or long-horizon alpha?. Journal of Portfolio Management. 45(1): 96-105.LINK