TY  - JOUR
U1  - Zeitschriftenartikel, wissenschaftlich - begutachtet (reviewed)
A1  - Bunnenberg, Sebastian
A1  - Rohleder, Martin
A1  - Scholz, Hendrik
A1  - Wilkens, Marco
T1  - Jensen's alpha and the market‐timing puzzle
JF  - Review of financial economics : RFE
N2  - Theory predicts that market‐timing activities bias Jensen's alpha (JA). However, empirical studies have failed to find consistent evidence of this bias. We tackle this puzzle in a nested model analysis and show that the bias contains an exogenous market component that is unrelated to market‐timing skill. In a comprehensive empirical analysis of US mutual funds, we find that the timing‐induced bias in JA is mainly driven by this market component, which is uncorrelated with measured timing activities. Measures of total performance that allow for timing activities are virtually identical to JA, even if timing activities are present in the evaluated fund. Hence, we conclude that JA is a sufficient measure of total performance.
KW  - market‐timing
KW  - mutual fund performance
KW  - stock selection
KW  - total performance
Y1  - 2019
UN  - https://nbn-resolving.org/urn:nbn:de:bsz:rt2-opus4-22303
SN  - 1058-3300
SS  - 1058-3300
U6  - https://doi.org/10.1002/rfe.1033
DO  - https://doi.org/10.1002/rfe.1033
VL  - 37
IS  - 2
SP  - 234
EP  - 255
S1  - 22
PB  - Wiley
CY  - Hoboken, NJ
ER  -