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A Different Approach To Jensen’S Alpha And Its Relationship With Returning Ranking, Tingyu Du Ms.
A Different Approach To Jensen’S Alpha And Its Relationship With Returning Ranking, Tingyu Du Ms.
Undergraduate Economic Review
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.