We find that the outperformance for Fama-French factors compared to macroeconomic factors in terms of fitting the cross-section of expected returns disappears when accounting for horizon effects. In addition, we obtain novel empirical relations between macroeconomic factors and Fama-French factors at longer horizons. To obtain our results, we introduce a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows for a setting where investors with different investment horizons may experience different levels of systematic risk, which could arise from delayed stock price reaction to systematic factor news.

We find that the outperformance for Fama-French factors compared to macroeconomic factors in terms of fitting the cross-section of expected returns disappears when accounting for horizon effects. In addition, we obtain novel empirical relations between macroeconomic factors and Fama-French factors at longer horizons. To obtain our results, we introduce a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows for a setting where investors with different investment horizons may experience different levels of systematic risk, which could arise from delayed stock price reaction to systematic factor news.

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