A variety of timing strategies shown to generate alpha and high Sharpe ratios at the monthly horizon exhibit substantially deteriorated performance at longer investment horizons. The effect is large: multi-factor alphas are more than halved going from one-month to 10-year returns, and factors that exploit time-series predictability drive them to zero. I argue that such return dynamics reflect compensation for exposure to shocks that are particularly risky from a long-horizon investor’s perspective. I illustrate the idea by showing that seasonality in the volatility of price-of-risk and expected-cash-flow shocks generates seemingly profitable timing strategies.

We study the stock market effects of the arrival of the three rounds of “stimulus checks” to U.S. taxpayers and the single round of direct payments to Hong Kong citizens. The first two rounds of U.S. checks appear to have increased retail buying and share prices of retail-dominated portfolios. The Hong Kong payments increased overall turnover and share prices on the Hong Kong Stock Exchange. We cannot rule out that these price effects were permanent. The findings raise novel questions about the role of fiscal stimulus in the stock market.