Identifying horizon-based heterogeneity in the cross section of portfolio returns
Clark Lundberg ()
Additional contact information
Clark Lundberg: San Diego State University
Economics Bulletin, 2019, vol. 39, issue 2, 1163-1175
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 (search for similar items in EconPapers)
JEL-codes: G1 C2 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-19-00123
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().