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M. Lettau and S. C. Ludvigson, “Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,” Journal of Political Economy, Vol. 109, No. 6, 2001, pp. 1238-1287. doi:10.1086/323282

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.