We show that active equity funds deliberately alter their factor loadings rather than maintaining a constant style. Changes are larger following quarters in which funds either under- or out-perform other funds based on returns or fund flows. Motivated by this observation, we identify a new...

The authors study whether the pricing of systematic factors depends on the investment horizon over which risk is measured. Market beta and Fama--French value beta are priced when risk is measured over intermediate horizons, while liquidity beta is priced over short horizons. Alpha on a...