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J. Kang, T. S. Kim, C. Lee and B. Min, “Macroeconomic Risk and the Cross-Section of Stock Returns,” Journal of Banking and Finance, Vol. 35, No. 12, 2011, pp. 3158-3173. doi:10.1016/j.jbankfin.2011.04.012

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.