How to Make It
In a medium bowl, whisk the flour with the cornstarch, salt and cinnamon. In a large bowl, using a hand-held mixer, beat the butter with the sugar at medium speed until light and fluffy, about 2 minutes. At low speed, beat in the dry ingredients in 2 batches, mixing until just combined after each addition.
Turn the dough out onto a clean work surface and pat into a rectangle about 1/2 inch thick. Wrap in plastic and refrigerate until firm, about 1 hour.
Unwrap the dough and divide it in half. Place 1 half on a lightly floured sheet of parchment; keep the remaining half wrapped plastic. Place a second parchment sheet on top. Roll the dough out 1/4 inch thick. Using the parchment, transfer the dough to a rimmed baking sheet and freeze until firm, about 15 minutes. Repeat with the remaining dough.
Line 2 baking sheets with parchment. Place 1 piece of dough on a clean work surface. Using a 1-inch round cutter dusted with flour, stamp out as many rounds as possible. Using a small spatula, transfer the rounds to the prepared baking sheets, spacing about 1/2 inch apart. Gather the scraps and pat into a disk. Roll out and stamp out as many more rounds as possible. Refrigerate until firm, at least 30 minutes. Repeat with the remaining dough. (You should have 48 rounds.)
Preheat the oven to 325°. Bake the cookies, shifting the baking sheets from top to bottom and front to back halfway through, for 20 to 24 minutes, until the cookies are lightly browned around the edges. Transfer the baking sheets to racks to cool.
Arrange 24 of the cookies upside down on a clean work surface. Using a small spoon, spread about 2 teaspoons of dulce de leche on each cookie. Sandwich with the remaining cookies. Transfer the assembled alfajores to a rimmed baking sheet and refrigerate until the dulce de leche is just firm, about 15 minutes.
Place the coconut in a shallow bowl. Working one at a time, roll the edge of each alfajor in the coconut. Transfer to a platter and repeat with the remaining alfajores.
Dulce de leche, a sweet, caramelized milk from Latin America, is available at many supermarkets.