Gorzon, David; Bormann, Marc; von Nitzsch, Ruediger - In: Financial Markets and Portfolio Management 38 (2024) 2, pp. 265-295
Various factor models extended by Jensen’s (J Financ 23:389–416, 1968) alpha have been used to measure the retail investors’ portfolio (under-) performance compared to the market portfolio. The previous studies tried to explain this anomaly in behavioral finance by examining retail...