EconPapers    
Economics at your fingertips  
 

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

Abstract: 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)
Date: 2019-05-15
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2019/Volume39/EB-19-V39-I2-P111.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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 ().

 
Page updated 2020-06-20
Handle: RePEc:ebl:ecbull:eb-19-00123