{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,8]],"date-time":"2026-10-08T05:56:57Z","timestamp":1791439017263,"version":"4.3.3"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Investors choose how much to invest and for how long; in contrast, standard models fix the holding period and solve only for the amount. I introduce the choice of investment horizon into an asset pricing model. The optimality condition is the Horizon-Adjusted Fundamental Pricing Equation: the Euler equation holds at the investor's chosen horizon, and its derivative with respect to the horizon is zero. When investors have long horizons but econometricians assume short ones, this mismatch leads to biased estimates of investors' risk preferences. Comparative statics show that more risk-averse investors choose shorter horizons. Empirically, I estimate investment horizons from subjective beliefs recovered nonparametrically. Assuming beliefs are timeconsistent and satisfy transitivity, I conduct a quasi-test of two identical investors with short or long possible horizons. The most likely horizon ranges from eight to fourteen quarters in normal times and from five to eight quarters in recessions, substantially longer than conventionally assumed. Implied risk aversion decreases sixfold as the horizon lengthens and stabilizes beyond eight quarters, sharply mitigating the equity premium puzzle. Horizon heterogeneity also helps explain portfolio composition: growth stocks match short horizons and value stocks match long ones.<\/jats:p>","DOI":"10.2139\/ssrn.7566899","type":"posted-content","created":{"date-parts":[[2026,10,8]],"date-time":"2026-10-08T05:48:56Z","timestamp":1791438536000},"source":"Crossref","is-referenced-by-count":0,"title":["The Missing Horizon in Asset Pricing"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7378-2785","authenticated-orcid":true,"given":"Valerii","family":"Baidin","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,8]],"date-time":"2026-10-08T05:48:56Z","timestamp":1791438536000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7566899"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7566899","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}