Hodor, IdanZapatero, Fernando2022-04-192022-04-19Hodor, Idan and Zapatero, Fernando, Asset Pricing Implications of Heterogeneous Investment Horizons (April 10, 2022). Available at SSRN: https://ssrn.com/abstract=3852487 or http://dx.doi.org/10.2139/ssrn.38524871556-5068https://hdl.handle.net/2144/44250Short performance windows shrink fund managers' investment horizons well below value investors' long-term investment mandates. We unravel that the frictions tied to the asset management industry are responsible for the recent empirical  ndings show- ing that the risk premium, volatility, and Sharpe ratio on short-term dividend strips are higher than long-term dividend strips |  ndings that are at odds with the lead- ing equilibrium asset pricing models. The interplay between fund managers' relative performance objective and short-term performance window is the primary equilibrium channel, which remains robust to various extensions. Our continuous-time setup admits closed-form expressions and is supported by additional empirical evidence.en-USArticle10.2139/ssrn.3852487709225