The investment horizon and asset pricing models

Walsh, K

The investment horizon and asset pricing models

Walsh, K

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Publication Type:: Journal Article
Citation:: Australian Journal of Management, 2015, 40 (2), pp. 277 - 294
Issue Date:: 2015-01-01

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Field	Value	Language
dc.contributor.author	Walsh, K https://orcid.org/0000-0003-4529-771X	en_US
dc.date.issued	2015-01-01	en_US
dc.identifier.citation	Australian Journal of Management, 2015, 40 (2), pp. 277 - 294	en_US
dc.identifier.issn	0312-8962	en_US
dc.identifier.uri	http://hdl.handle.net/10453/136145
dc.description.abstract	© The Author(s) 2014 The Life Cycle Hypothesis suggests that the primary motivation for saving is to accumulate resources in order to fund retirement. This suggests that investors have heterogeneous investment horizons, yet many tests of the CAPM assume homogeneous horizons. This paper estimates a time varying heterogeneous investment horizon using over 200 years of demographic data. We test the CAPM and its assumption that the Equity Risk Premium is positive using our estimated investment horizon. We conclude that the CAPM is not violated when tested over a horizon that more accurately reflects investor behavior.	en_US
dc.relation.ispartof	Australian Journal of Management	en_US
dc.relation.isbasedon	10.1177/0312896214521439	en_US
dc.rights	info:eu-repo/semantics/closedAccess
dc.title	The investment horizon and asset pricing models	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	40	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	40	en_US

Abstract:

© The Author(s) 2014 The Life Cycle Hypothesis suggests that the primary motivation for saving is to accumulate resources in order to fund retirement. This suggests that investors have heterogeneous investment horizons, yet many tests of the CAPM assume homogeneous horizons. This paper estimates a time varying heterogeneous investment horizon using over 200 years of demographic data. We test the CAPM and its assumption that the Equity Risk Premium is positive using our estimated investment horizon. We conclude that the CAPM is not violated when tested over a horizon that more accurately reflects investor behavior.

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http://hdl.handle.net/10453/136145