New Evidence That Time Diversification Exists, Violates Black-Scholes

Time diversification, the idea that risk drops the longer you hold a stock, is controversial. Finance theory says that it doesn’t exist, but there is some empirical evidence that it does. Proponents of time diversification have mostly focused on U.S. markets over  the last century to prove their case, but a new study has taken a much broader view, 20 countries over 113 years, and has found statistically significant evidence that time diversification is a real effect that analysts should take into account when making recommendations.

Time diversification contradicts accepted theory

The research team, composed of Morningstar director of retirement research David Blanchett, Texas Tech University Professor Michael Finke, and American College Professor Wade Pfau, is well aware...