Michael C. Jensen's empirical work

• 成果类型: Article
• 署名作者: Fama, Eugene F.; French, Kenneth R.
• 署名单位: University of Chicago; Dartmouth College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104119
• 发表日期: 2025-10
• 页码: 104119
• 关键词: Asset pricing tests; Jensen's alpha; market efficiency; STOCK SPLITS; Performance evaluation; Market equilibrium; cross-section; RISK; INVESTMENT; portfolios; selection; returns; assets

摘要

Much of Mike Jensen's research is foundational, including his early publications, which focus on empirical asset pricing. For example, Jensen's alpha, which he developss in Jensen (1968 and 1969) to evaluate mutual fund managers, is the foundation for most measures of investment performance. Similarly, in Fama et al (1969), Jensen and coauthors present the first event study, Thereafter, event studies play a major role in finance, accounting, and legal research. Finally, Black, Jensen, and Scholes (1972) develop a key insight about the importance of interdependence of sampling errors in the precision of asset pricing tests.