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has been cited by the following article:
TITLE: A Bias in Jensen’s Alpha When Returns Are Serially Correlated
AUTHORS: Jangkoo Kang, Soonhee Lee
KEYWORDS: Performance Measurement; Jensen’s Alpha; Time-Varying Risk
JOURNAL NAME: Theoretical Economics Letters, Vol.3 No.3, June 13, 2013
ABSTRACT: 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.