Investment horizon dependent CAPM : adjusting beta for long-term dependence

Borradores de Economia
Number: 
730
Published: 
Classification JEL: 
G12, G14, G32, G20, C14
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
Download document

The most recent

Payroll Subsidies for SMEs in Informal Labor Markets
Leonardo Fabio Morales, Leonardo Bonilla-Mejía, Didier Hermida-Giraldo, Francisco Javier Lasso-Valderrama, José Pulido
Mobile Wallets and other payment services: regional gaps and their adoption in Colombia
Constanza Martínez-Ventura, Ligia Alba Melo-Becerra
Using online vacancy posts to analyze the return to skills and knowledge in the formal labor market
Leonardo Fabio Morales, Juan Chaparro-Cardona, Eleonora Dávalos, Nataly Corredor-Martinez

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to t