Conditional Dynamics and the Multihorizon Risk-Return Trade-Off
Sign Up to like & getrecommendations! Published in 2021 at "Review of Financial Studies"
DOI: 10.1093/rfs/hhab053
Abstract: We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications.… read more here.
Keywords: risk; risk return; return trade; dynamics multihorizon ... See more keywords