Investment horizon effects
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- dc.contributor.author Gil-Bazo, Javier
- dc.date.accessioned 2020-03-18T09:49:24Z
- dc.date.available 2020-03-18T09:49:24Z
- dc.date.issued 2006
- dc.description.abstract Boudry and Gray (2003) have documented that the optimal buy-and-hold demand for Australian stocks is not necessarily increasing in the investment horizon when returns are predictable. Such finding is in contrast with Barberis (2000) who shows that positive monotonic horizon effects predominate for US stocks. Using a closed-form approximation to the asset allocation problem, this paper relates the return dynamics to the investor’s portfolio choice for different investment horizons. In the special case of a single risky asset, it is shown that return predictability under stationarity may induce both positive and negative horizon effects in the optimal allocation to the risky asset. The paper extends previous empirical results by solving for the optimal portfolio when two risky assets with predictable returns are available for investment.
- dc.description.sponsorship Financial support from Spanish Ministry of Science and Technology, grant SEJ2004-01688/ECON, is also acknowledged.
- dc.format.mimetype application/pdf
- dc.identifier.citation Gil-Bazo J. Investment horizon effects. J Bus Finance Account. 2006 Feb 21;33(1-2):179-202. DOI: 10.1111/j.1468-5957.2006.01098.x
- dc.identifier.doi http://dx.doi.org/10.1111/j.1468-5957.2006.01098.x
- dc.identifier.issn 1468-5957
- dc.identifier.uri http://hdl.handle.net/10230/43931
- dc.language.iso eng
- dc.publisher Wiley
- dc.relation.ispartof Journal of Business Finance & Accounting. 2006 Feb 21;33(1-2):179-202
- dc.relation.projectID info:eu-repo/grantAgreement/ES/2PN/SEJ2004-01688
- dc.rights This is the peer reviewed version of the following article: Gil-Bazo J. Investment horizon effects. J Bus Finance Account. 2006 Feb 21;33(1-2):179-202, which has been published in final form at http://dx.doi.org/10.1111/j.1468-5957.2006.01098.x. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.subject.keyword Portfolio choice
- dc.subject.keyword Return predictability
- dc.subject.keyword Investment horizon effects
- dc.title Investment horizon effects
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/acceptedVersion