This paper introduces a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows investors with different investment horizons to experience varying levels of systematic risk, potentially due to delayed stock price reactions to systematic factor news. We find that the outperformance of Fama-French factors compared to macroeconomic factors in the cross-sectional fit of expected returns disappears when accounting for these horizon effects. The results show that different factors are priced at different horizons and that optimal portfolio compositions are horizon-dependent.