Connor, Gregory
(1986)
Performance Measurement with The Arbitrage
Pricing Theory
A New Framework for Analysis.
Journal of Financial Economics, 15 (3).
pp. 373-394.
ISSN 0304-405X
Abstract
The measurement of portfolio performance is an important practical application
of asset pricing theory. Two popular measures of performance are the
‘Jensen coefficient’ and Treynor and Black’s ‘appraisal ratio’. U’sing the
Capital Asset Pricing Model (CAPM), Jensen (1968) suggests that a positive
deviation of a portfolio’s average return from that predicted by the security
market line (the Jensen coefficient) indicates superior performance. The appraisal
ratio is a refinement of Jensen’s measure and is equal to the ratio of the Jensen coefficient to the amount of non-market risk undertaken by the manager
| Item Type: |
Article
|
| Keywords: |
Performance; Measurement; Arbitrage;
Pricing Theory;
Framework; Analysis; |
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
8439 |
| Depositing User: |
Gregory Connor
|
| Date Deposited: |
12 Jul 2017 09:12 |
| Journal or Publication Title: |
Journal of Financial Economics |
| Publisher: |
Elsevier |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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