Generalized Functional Form for Mutual Fund Returns
基于资本资产定价理论，探讨了Jensen提出的收益生成模型的函数形式问题，包括投资期限影响、线性检验方法以及beta系数稳定性和市场条件对alpha与beta的影响。
Based on the theory of the pricing of capital assets developed by Sharpe [12], Lintner [9] and Mossin [11], Professor Jensen formulated a return-generating model to measure portfolio performance [5]. In a subsequent paper, Professor Jensen [6] investigated the impact of the investment horizon on the functional form of the model. Lee [8] has proposed a generalized specification of the model to resolve this problem. Alternative estimation methods for testing the linearity of the model in terms of time-series data have also been suggested by Lee. Moreover, the stability of the beta coefficient over time and the impact of the market's condition on both the alpha (or, Jensen's measure of performance [5]) and beta of the model have come under scrutiny in financial research.