Do Stock Indexes Have Abnormal Performance?

$25.00

Using a four-factor model, the authors generate alphas and factor loadings for a set of stock market indexes. Their findings indicate that a fund’s alpha should be adjusted when its benchmark index alpha is also significant.

Author: Bruce A. Costa Ph.D., and Keith Jakob Ph.D.

Using a four-factor model, the authors generate alphas and factor loadings for a set of stock market indexes. Their findings indicate that a fund's alpha should be adjusted when its benchmark index alpha is also significant.

 

Do Stock Indexes Have Abnormal Performance?

Reviews

There are no reviews yet.

Only logged in customers who have purchased this product may leave a review.

Free Subscription!

The Journal of Performance Measurement

The Performance Measurement Resource.

Click to Subscribe