An Interpretation of SDF Based Performance Measures

B-Tier
Journal: Review of Finance
Year: 1999
Volume: 3
Issue: 2
Pages: 233-237

Authors (1)

Paul Söderlind (Universität St. Gallen)

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

This note discusses stochastic discount factor (SDF) measures of mutual fund performance. It shows that the most common SDF performance measures can be interpreted as Jensen's "alphas". JEL Classification Numbers: G11, G12, G23

Technical Details

RePEc Handle
repec:oup:revfin:v:3:y:1999:i:2:p:233-237.
Journal Field
Finance
Author Count
1
Added to Database
2026-01-29