Jensen Alpha and Market Climate

Beitrag in einer Fachzeitschrift


Details zur Publikation

Autor(en): Breloer B, Hühn HL, Scholz H
Zeitschrift: Journal of Asset Management
Verlag: Henry Stewart Publications
Jahr der Veröffentlichung: 2016
Band: 17
Seitenbereich: 195-214
ISSN: 1470-8272
Sprache: Englisch


Abstract


This article studies the impact of market climate on the classic Jensen

alpha (JA) of equity funds. We show analytically that the one-factor JA of a fund consists

of (i) the fund’s alpha based on the assumed multi-factor model driving fund returns

and (ii) further components that are subject to time-dependent market phases of factor

realizations. In our empirical study, we analyze JAs and respective fund rankings for a

survivorship bias-free data set of 3102 US equity mutual funds. Our results show that

factor realizations during the specific lifetime of a fund clearly affect its JA and rank

position. This impact of factor realizations is particularly strong for funds with shorter

lifetimes. To quantify the market climate impact, we compare classic JAs of funds with

their time period-adjusted JAs, removing the influences of market phases. Finally, our main

results are robust when applying alternative multi-factor models as return generating

process of funds.



FAU-Autoren / FAU-Herausgeber

Breloer, Bernhard
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Hühn, Hannah Lea
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


Zitierweisen

APA:
Breloer, B., Hühn, H.L., & Scholz, H. (2016). Jensen Alpha and Market Climate. Journal of Asset Management, 17, 195-214. https://dx.doi.org/10.1057/jam.2016.4

MLA:
Breloer, Bernhard, Hannah Lea Hühn, and Hendrik Scholz. "Jensen Alpha and Market Climate." Journal of Asset Management 17 (2016): 195-214.

BibTeX: 

Zuletzt aktualisiert 2018-21-07 um 20:10