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.
Cite this paper
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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