M. Grinblatt and S. Titman, “Portfolio Performance Evaluation: Old Issues and New Insights,” Review of Financial Studies, Vol. 2, No. 3, 1989, pp. 393-421. doi:10.1093/rfs/2.3.393

has been cited by the following article:

• TITLE: A Bias in Jensen’s Alpha When Returns Are Serially Correlated

  AUTHORS: Jangkoo Kang, Soonhee Lee

  KEYWORDS: Performance Measurement; Jensen’s Alpha; Time-Varying Risk

  JOURNAL NAME: Theoretical Economics Letters, Vol.3 No.3, June 13, 2013

  ABSTRACT: This paper shows that Jensen’s alpha may be a biased performance measure even for public-information-based portfolios, unless the benchmark portfolio return has no serial correlation, and the bias can be substantial even when the underlying asset pricing model holds.