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

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Borradores de Economía; No. 730
Date published
2012-08-18
Date of last update
2012-08-18
Author
León-Rincón, Carlos Eduardo
Leiton-Rodríguez, Karen Juliet
Reveiz-Herault, Alejandro
Document language
spa
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Abstract
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
JEL Codes
C14 - Semiparametric and Nonparametric Methods: GeneralG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; GoodwillG20 - Financial Institutions and Services: GeneralG12 - Asset Pricing; Trading Volume; Bond Interest RatesG14 - Information and Market Efficiency; Event Studies; Insider Trading
Keywords
CAPM ; Hurst exponent ; Long-term dependence ; Fractional brownian motion ; Asset allocation ; Investment horizon ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5775
https://hdl.handle.net/20.500.12134/5775
https://doi.org/10.32468/be.730
https://ideas.repec.org/p/bdr/borrec/730.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit