How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to...

We show that standard beta pricing models quantify an asset's systematic risk as a weighted combination of a number of different timescale betas. Given this, we develop a wavelet-based framework that examines the cross-sectional pricing implications of isolating these timescale betas. An...

Recent studies find that target firm returns are reduced following sovereign wealth fund (SWF) investment. Although risk is also reduced following SWF investment, they find that SWF investment is associated with a reduction in the compensation of risk.In this paper, weexamine the hypothesis that...