We study the horizon dimension of cross-sectional return predictability using a model where characteristics contain both persistent and transitory components. We test the implications of this model for the average returns of popular characteristic-based trading strategies at short versus long horizons after portfolio formation. Our evidence supports the claim that the relative compensation for persistent and transitory components varies across characteristics, in both magnitude and sign. Benchmark factor models cannot explain the returns of portfolios sorted on characteristics where either the persistent or transitory component is dominant. Finally, we discuss implications for the long-term discount rates of firms.

中文翻译：

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公司特征的持久性和暂时性组成部分：对资产定价的影响

我们使用特征包含持久性和暂时性成分的模型来研究横截面收益可预测性的水平维度。我们测试了该模型对基于特征的流行交易策略在投资组合形成后的短期和长期平均回报的影响。我们的证据支持这样的说法，即持久性和暂时性成分的相对补偿在大小和符号方面因特征而异。基准因子模型无法解释按持久性或暂时性成分占主导地位的特征排序的投资组合的回报。最后，我们讨论对企业长期贴现率的影响。