Optimal Utilization Of Market Forecasts And The Evaluation Of Investment Performance

By Michael C. Jensen. 2003

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1131b0b6d11e5fcb7d6c27a2835b8a59f676eaba

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Roy. Henriksson
2. R. C. Merton

In Finance

1. Roy. Henriksson
2. R. C. Merton
3. Michael J. Brennan
4. Petter N. Kolm
5. Gordon Ritter
6. E. S. Schwartz

In Management Science and Operations Research

1. Roy. Henriksson
2. R. C. Merton

Citations in the corpus

• On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015, methodology): “The forecasters in our model are less sophisticated than those hypothesized in, for example, the Jensen (1972b) formulation where they do forecast how much better the forecast superior investment will perform.”
• Do Market Timing Hedge Funds Time the Market (2007, unknown): “If fund beta βt is constant over time, the intercept becomes Jensen’s alpha, which measures selection ability or microforecasting ability (see Jensen (1968), Fama (1972)).”