A method for choosing appropriate investment periods to make arbitrage profit and explain stock returns

The current paper presents theoretical and experimental evidence to justify the need for paying attention investment horizon. Therefore, a criterion called 'Safest Investment Horizon' (SIH) is utilized select appropriate To compute this quantity, ratio Ratio' (SIR) calculated, relationship between these criteria arbitrage opportunities, along with methods making an profit through selecting time horizon are discussed. Afterward, by applying method real-life data, presence of opportunities at different horizons confirmed. Furthermore, effects on optimal portfolio composition described. Finally, it shown that outperform some conventional variables in CAPM, 3-factor, 5-factor models explaining stock returns using SIH or SIR as new variable increases explanatory power models.