The Journal of Portfolio Management, Volume 45, Number 1, Fall 2018

短投看beta，长投看alpha ?

作者：Avraham Kamara (University of Washington),Robert Korajczyk (Northwestern University),

Xiaoxia Lou (University of Delaware),Ronnie Sadka (Boston College)

摘要：作者研究了系统性因子的定价是否取决于用于度量风险的投资期限。市场beta和Fama-French价值beta在风险为中期风险时被定价，流动性beta则在短期被定价。在根据短期流动性beta构造的多空投资组合中，alpha随着投资者的投资期限（用于衡量风险）的增加而单调增加，使这些资产对长期投资者更具吸引力。机构投资者调整他们的投资组合以获取风险溢价，这对那些投资期限与自己不同的投资者来说非常重要。

Short-Horizon Beta or Long-Horizon Alpha?

Avraham Kamara (University of Washington), Robert Korajczyk (Northwestern University), Xiaoxia Lou (University of Delaware), Ronnie Sadka (Boston College)

ABSTRACT

The authors study whether the pricing of systematic factors depends on the investment horizon over which risk is measured. Market beta and Fama–French value beta are priced when risk is measured over intermediate horizons, and liquidity beta is priced over short horizons. Alpha on a long–short portfolio formed on short-horizon liquidity beta increases monotonically as an investor’s horizon (for measuring risk) increases, making those assets more attractive to long-horizon investors. Institutional investors align their portfolios to harvest risk premiums that are important to investors with horizons different from their own.

原文链接：http://jpm.iijournals.com/content/45/1/96

翻译：吕越