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Clark Lundberg
''Identifying horizon-based heterogeneity in the cross section of portfolio returns''
( 2019, Vol. 39 No.2 )
I introduce an econometric framework to identify and estimate horizon-based heterogeneity in panel data. Using this approach, I identify the horizon-based structure in the cross section of portfolio returns. Accounting for this structure results in a significant improvement in pricing accuracy relative to the standard CAPM and Fama-French three-factor models. The majority of the improvement arises from separately pricing long-horizon and shorter-horizon market exposure.
Keywords: time horizons, asset pricing, wavelets
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Feb 07 2019 Manuscript Accepted : May 15 2019

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