Can Alpha Be Captured by Risk Premia?

Jennifer Bender · Paul Brett Hammond · William Mok

19 citations0/0 files storedThe Journal of Portfolio Management

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Risk and Portfolio Optimization

Abstract

‘The Problem with…’ series covers controversial topics related to efforts to improve healthcare quality, including widely recommended but deceptively difficult strategies for improvement and pervasive problems that seem to resist solution.

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1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1976The arbitrage theory of capital asset pricing 1996Another Puzzle: The Growth in Actively Managed Mutual Funds 1995Returns from Investing in Equity Mutual Funds 1971 to 1991 2007Dissecting Anomalies 2004International evidence on ethical mutual fund performance and investment style

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