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The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania


  • LaimutÄ— UrbÅ¡ienÄ—
  • Andrius Bugajevas
  • Marekas Pipiras


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  • LaimutÄ— UrbÅ¡ienÄ— & Andrius Bugajevas & Marekas Pipiras, 2016. "The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 7(2).
  • Handle: RePEc:vul:omefvu:v:7:y:2016:i:2:id:210

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    1. Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
    2. Buiter, Willem H., 1987. "Efficient 'myopic' asset pricing in general equilibrium : A potential pitfall in excess volatility tests," Economics Letters, Elsevier, vol. 25(2), pages 143-148.
    3. Walter Torous & Rossen Valkanov & Shu Yan, 2004. "On Predicting Stock Returns with Nearly Integrated Explanatory Variables," The Journal of Business, University of Chicago Press, vol. 77(4), pages 937-966, October.
    4. Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
    5. Ľuboš Pástor & Robert F. Stambaugh, 2012. "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, April.
    6. Campbell, John Y. & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
    7. Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.
    8. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
    9. Jeeman Jung & Robert J. Shiller, 2005. "Samuelson's Dictum and the Stock Market," Economic Inquiry, Western Economic Association International, vol. 43(2), pages 221-228, April.
    10. Ibarra, Raul, 2013. "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 429-439.
    11. Carlo A. Favero & Federico Nucera, 2014. "How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 1-19, February.
    12. W. F. Sharpe, 1966. "Security Prices, Risk, And Maximal Gains From Diversification: Reply," Journal of Finance, American Finance Association, vol. 21(4), pages 743-744, December.
    13. Myles E. Mangram, 2013. "A Simplified Perspective Of The Markowitz Portfolio Theory," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 7(1), pages 59-70.
    14. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    15. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    16. Roger Ibbotson & Peng Chen, 2001. "Stock Market Returns in the Long Run: Participating in the Real Economy," Yale School of Management Working Papers ysm206, Yale School of Management, revised 01 Apr 2002.
    17. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
    18. Sangbae Kim & Francis In, 2010. "Portfolio allocation and the investment horizon: a multiscaling approach," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 443-453.
    19. Ho-Mou Wu & Wen-Chung Guo, 2004. "Asset price volatility and trading volume with rational beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(4), pages 795-829, May.
    20. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
    21. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory and Asset Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 116(1), pages 1-53.
    22. Robertson, Donald & Wright, Stephen, 1998. "The Good News and the Bad News about Long-run Stock Market Returns," Cambridge Working Papers in Economics 9822, Faculty of Economics, University of Cambridge.
    23. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
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