A bias in Jensen's alpha when returns are serially correlated
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kang, Jangkoo | ko |
| dc.contributor.author | Lee, Soonhee | ko |
| dc.date.accessioned | 2014-08-26T07:12:21Z | - |
| dc.date.available | 2014-08-26T07:12:21Z | - |
| dc.date.created | 2014-01-12 | - |
| dc.date.created | 2014-01-12 | - |
| dc.date.issued | 2013 | - |
| dc.identifier.citation | Theoretical Economics Letters, v.3, no.3, pp.188 - 190 | - |
| dc.identifier.issn | 2162-2078 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/187021 | - |
| dc.description.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 | - |
| dc.language | English | - |
| dc.publisher | Scientific Research | - |
| dc.title | A bias in Jensen's alpha when returns are serially correlated | - |
| dc.type | Article | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 3 | - |
| dc.citation.issue | 3 | - |
| dc.citation.beginningpage | 188 | - |
| dc.citation.endingpage | 190 | - |
| dc.citation.publicationname | Theoretical Economics Letters | - |
| dc.contributor.localauthor | Kang, Jangkoo | - |
| dc.contributor.nonIdAuthor | Lee, Soonhee | - |
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