Investment horizon effect on asset allocation between value and growth strategies

Bansal, 2006 Bansal, 2005, Consumption, dividends, and the cross-section of equity returns, The Journal of Finance, 60, 1639, 10.1111/j.1540-6261.2005.00776.x Bansal, 2006 Barberis, 2000, Investing for the long run when returns are predictable, The Journal of Finance, 55, 225, 10.1111/0022-1082.00205 Bodie, 1992, Labor supply flexibility and portfolio choice in a life cycle model, Journal of Economic Dynamics and Control, 16, 427, 10.1016/0165-1889(92)90044-F Campbell, 2001, Who should buy long-term bonds?, The American Economic Review, 91, 99, 10.1257/aer.91.1.99 Campbell, 2002 Chopra, 1993, The effect of error in means, variances and covariances on optimal portfolio choice, Journal of Portfolio Management, 19, 6, 10.3905/jpm.1993.409440 Durai, 2009, Stock prices, inflation and output: evidence from wavelet analysis, Economic Modelling, 26, 1089, 10.1016/j.econmod.2009.04.005 Fama, 1992, The Cross-section of expected stock returns, The Journal of Finance, 47, 427, 10.2307/2329112 Fama, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 2007, The anatomy of value and growth stock returns, Financial Analysts Journal, 63, 44, 10.2469/faj.v63.n6.4926 Gençay, 2001, Scaling properties of foreign exchange volatility, Physica A, 289, 249, 10.1016/S0378-4371(00)00456-8 Gençay, 2002 Gençay, 2003, Systematic risk and time scales, Quantitative Finance, 3, 108, 10.1088/1469-7688/3/2/305 Gollier, 2002, Horizon length and portfolio risk, Journal of Risk and Uncertainty, 24, 195, 10.1023/A:1015697417916 Gunthorpe, 1994, Portfolio composition and the investment horizon, Financial Analysts Journal, 50, 51, 10.2469/faj.v50.n1.51 Hansson, 2000, Time diversifications and estimation risk, Financial Analysts Journal, 56, 55, 10.2469/faj.v56.n5.2390 Hatemi-J, 2006, A re-examination of international portfolio diversification based on evidence from leveraged bootstrap method, Economic Modelling, 23, 993, 10.1016/j.econmod.2006.04.009 Haugen, 1996, Commonalities in the determinants of expected stock returns, Journal of Financial Economics, 41, 401, 10.1016/0304-405X(95)00868-F Holton, 1992, Time: the second dimension of risk, Financial Analysts Journal, 48, 38, 10.2469/faj.v48.n6.38 Houge, 2006, Do investors capture the value premium?, Financial Management, 35, 5, 10.1111/j.1755-053X.2006.tb00139.x In, 2006, The hedge ratio and the empirical relationship between the stock and futures markets: a new approach using wavelet analysis, Journal of Business, 79, 799, 10.1086/499138 Jensen, 2000, An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets, Journal of Economic Dynamics and Control, 24, 361, 10.1016/S0165-1889(99)00010-X Jurek, 2006 Kim, 2005, Stock returns and inflation: new evidence from wavelet analysis, Journal of Empirical Finance, 12, 435, 10.1016/j.jempfin.2004.04.008 Kim, 2005, Multihorizon Sharpe ratio, Journal of Portfolio Management, 31, 105, 10.3905/jpm.2005.470583 Kim, 2010, Portfolio allocation and the investment horizon: a multiscaling approach, Quantitative Finance, 10, 443, 10.1080/14697680902960226 Kothari, 1995, Another look at the cross-section of expected stock returns, The Journal of Finance, 50, 185, 10.2307/2329243 Lakonishok, 1994, Contrarian investment, extrapolation and risk, The Journal of Finance, 49, 1541, 10.2307/2329262 Lee, 1990, The heterogeneous investment horizon and the capital asset pricing model: theory and implications, Journal of Financial and Quantitative Analysis, 25, 361, 10.2307/2330701 Li, 2000, Optimal dynamic portfolio selection: multiperiod mean-variance formulation, Mathematical Finance, 10, 387, 10.1111/1467-9965.00100 Lo, 1990, When are contrarian profits due to stock market overreaction?, Review of Financial Studies, 3, 175, 10.1093/rfs/3.2.175 Lynch, 2001, Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability, Journal of Financial Economics, 62, 67, 10.1016/S0304-405X(01)00074-5 Manimaran, 2005, Wavelet analysis and scaling properties of time series, Physics Review E, 72, 046120, 10.1103/PhysRevE.72.046120 Markowitz, 1952, Portfolio selection, The Journal of Finance, 7, 77, 10.2307/2975974 Percival, 2000 Petkova, 2005, Is value riskier than growth?, Journal of Financial Economics, 78, 187, 10.1016/j.jfineco.2004.12.001 Politis, 1994, The stationary bootstrap, Journal of the American Statistical Association, 89, 1303, 10.2307/2290993 Politis, 2004, Automatic block-length selection for the dependent bootstrap, Econometric Review, 23, 53, 10.1081/ETC-120028836 Rytchkov, 2010, Expected returns on value, growth, and HML, Journal of Empirical Finance, 10.1016/j.jempfin.2010.04.003 Sanfilippo, 2003, Stocks, bonds and the investment horizon: a test of time diversification on the French market, Quantitative Finance, 3, 345, 10.1088/1469-7688/3/4/310 Sharpe, 1994, The Sharpe ratio, Journal of Portfolio Management, 20, 49, 10.3905/jpm.1994.409501 Zhang, 2005, The value premium, The Journal of Finance, 60, 67, 10.1111/j.1540-6261.2005.00725.x