000			01344nam a22001937a 4500
008			190323b xxu||||| |||| 00| 0 eng d
022			_a 0304-405X
245			_aNon-myopic betas / by Semyon Malamud & Grigory Vilkov _cSemyon Malamud & Grigory Vilkov
260			_aAmsterdam _bElsevier _cAugust 2018
300			_aPages 357-381
440			_aJournal of Financial Economics _v129 (2) _x 0304-405X
500			_aAbstract An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfolio (non-myopic betas), which is identified nonparametrically from equilibrium. Non-myopic betas are priced in the cross-section of stocks, producing increasing and economically significant risk-return relation. In the model with funding constraints, low non-myopic beta stocks deliver higher risk-adjusted returns. Empirically, a betting against non-myopic beta portfolio generates superior performance relative to common factor models and is negatively correlated with the market betting against beta portfolio.
690			_aAsset prices
690			_aBeta
690			_aCAPM
690			_aHedging
690			_aStrategic asset allocation
942			_2lcc _cSE
999			_c361366 _d361366