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An introduction to financial asset pricing

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Positive alphas and a generalized multiple-factor asset pricing model

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Positive Alphas, Abnormal Performance, and Illusory Arbitrage

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Jensen's alpha is well-known to be a measure of abnormal performance in the evaluation of securities and portfolios where abnormal performance is defined to be an expected return that exceeds the equilibrium risk adjusted rate. It is also well known that in estimating Jensen's alpha, a non-zero...

Persistent link: https://www.econbiz.de/10014044274

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

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