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
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