Time diversification which is the idea of there being less riskiness over longer investment
horizons is examined in this paper. Different from previous studies, this paper contributes to …

The time diversification controversy, one of the most contentious issues in asset allocation,
refers to the relationship between risk and the holding period. One of the aspects of this …

There is surprisingly little agreement among academics about the existence of time
diversification, which we define as the anomaly where equities become less risky over …

We provide a closed-form measure of the stock's factor-specific beta coefficient that allows
for a delay in the reaction of stock prices to systematic information. This measure explicitly …

ABSTRACT Since Samuelson's (1969) theoretical proof that risk and time are unrelated, a
half century of debate and controversy has ensued, leaving time diversification as one of the …

Linear autoregressive (LAR) models poorly predict asset prices in nonlinear,
regimeswitching markets. We introduce SETAR, a threshold model that accounts for …

The time diversification debate examines the relationship between risk and investment
horizon. The debate has generally considered wealth to be a function only of returns. This …

This study addressed the lack of scholarly research on actual sales and purchases of
publicly traded securities into what methods individual investors use to make investment …

What is the relationship between risk and investment horizon? Since Samuelson's (1969)
theoretical proof that risk and time are unrelated, a half century of debate and controversy …

Does the risk of an investment change with its timehorizon? In this article we put to test the
competing claims presented by the literature on the so-called time diversification …