A bias in Jensen's alpha when returns are serially correlated

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 707
  • Download : 0
This paper shows that Jensen’s alpha may be a biased performance measure even for public-information-based portfolios, unless the benchmark portfolio return has no serial correlation, and the bias can be substantial even when the underlying asset pricing model holds
Publisher
Scientific Research
Issue Date
2013
Language
English
Citation

Theoretical Economics Letters, v.3, no.3, pp.188 - 190

ISSN
2162-2078
URI
http://hdl.handle.net/10203/187021
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0