Do Stock Indexes Have Abnormal Performance?
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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?
