This paper employs a hybrid approach that combines an adapted version of Fama-MacBeth two-pass regression with Engle-Granger cointegration test to characterize the relationship between expected stock returns and systematic risks with diverse investment horizons. We find no evidence supporting a...

Whether an investor should hold more risky assets in the long run is an issue of allocation. However, the comparison of performance between different investment horizons is not an allocation issue, but rather at timing issue. Therefore, we employ Markovian moving block bootstrap to examine the...