Do Stock Indexes Have Abnormal Performance?

$25

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?

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The Journal of Performance Measurement

The Performance Measurement Resource.

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