Market Timing and Security Market Line Analysis

It seems to be widely accepted that Jensen alpha fails to detect successful market timing funds spuriously indicating poor fund performance. Jensen (1972), Admati and Ross (1985), Dybvig and Ross (1985), and Grinblatt and Titman (1989), (1995) attribute that to an upwards biased estimate of the systematic risk of successful market timers. Therefore, they recommend not to use alpha in external performance evaluation. In this paper, we show that this conclusion is misleading.

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Year of publication:	2003-08-08
Authors:	Kempf, Alexander ; Kreuzberg, Klaus
Publisher:	Universität <Köln> / Seminar für Allgemeine Betriebswirtschaftslehre und Finanzierungslehre
Subject:	Fonds \| Risikomanagement \| risk management \| Portfoliomanagement \| portfolio management \| Timing

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Extent:	158720 bytes 28 p. application/pdf
Series:	Universität Köln - Seminar für Allgemeine Betriebswirtschaftslehre und Finanzierungslehre - Veröffentlichungen
Type of publication:	Book / Working Paper
Language:	English
Classification:	G11 - Portfolio Choice ; G23 - Pension Funds; Other Private Financial Institutions ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005844938