Internet Appendix of the Paper 'Jensen's Alpha and the Market Timing Puzzle'
10 Pages Posted: 30 Nov 2016 Last revised: 1 May 2021
Date Written: March 9, 2018
Abstract
This Internet Appendix contains mathematical and empirical results on the market timing induced bias in Jensen’s alpha using conditional models with time-varying skill in the spirit of Kacperczyk et al. (2014).
Full paper available at https://ssrn.com/abstract=1253923
Keywords: Conditional performance evaluation; time-varying investment skill
JEL Classification: G11; G23
Suggested Citation: Suggested Citation
Bunnenberg, Sebastian and Bunnenberg, Sebastian and Rohleder, Martin and Scholz, Hendrik and Wilkens, Marco, Internet Appendix of the Paper 'Jensen's Alpha and the Market Timing Puzzle' (March 9, 2018). Review of Financial Economics, 37 (2), 234-255., Available at SSRN: https://ssrn.com/abstract=2877173 or http://dx.doi.org/10.2139/ssrn.2877173
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