Internet Appendix of the Paper 'Jensen's Alpha and the Market Timing Puzzle'

10 Pages Posted: 30 Nov 2016 Last revised: 1 May 2021

See all articles by Sebastian Bunnenberg

Sebastian Bunnenberg

Talanx AG - HDI Global SE; Reutlingen University - ESB Business School

Martin Rohleder

University of Augsburg

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Marco Wilkens

University of Augsburg

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

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

Sebastian Bunnenberg (Contact Author)

Talanx AG - HDI Global SE ( email )

HDI-Platz 1
Hannover, 30659
Germany

Reutlingen University - ESB Business School ( email )

Alteburgstr. 150
Reutlingen, 72762
Germany

Martin Rohleder

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4120 (Phone)

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

Marco Wilkens

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

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