A Different Approach to Jensen’s Alpha and Its Relationship with Returning Ranking

Authors

Tingyu Du Ms., Washington University in St. LouisFollow

Abstract

Based on Michael C. Jensen’s CAPM model (1968), this paper refines it with dummy variables included. It examines if fund manager’s skill is contributing to fund’s performance within a five-year span from June 2009 to June 2014, and if high total return ranking is related to outstanding Jensen’s Alpha. The findings coincide with Jensen’s research results.

Recommended Citation

Du, Tingyu Ms. (2015) "A Different Approach to Jensen’s Alpha and Its Relationship with Returning Ranking," Undergraduate Economic Review: Vol. 11: Iss. 1, Article 16.
Available at: https://digitalcommons.iwu.edu/uer/vol11/iss1/16