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A Bias in Jensen’s Alpha When Returns Are Serially Correlated

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DOI: 10.4236/tel.2013.33031    3,961 Downloads   5,614 Views Citations


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.

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J. Kang and S. Lee, "A Bias in Jensen’s Alpha When Returns Are Serially Correlated," Theoretical Economics Letters, Vol. 3 No. 3, 2013, pp. 188-190. doi: 10.4236/tel.2013.33031.

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