RT Journal Article
T1 Investment horizon effects
A1 Gil-Bazo, Javier
AB 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.
PB Blackwell Publishing
SN 0306-686X
YR 2006
FD 2006-02
LK https://hdl.handle.net/10016/7497
UL https://hdl.handle.net/10016/7497
LA eng
DS e-Archivo
RD 1 sept. 2024