Suppose an analyst has a measured alpha of .2% with a standard error of 2%, as in
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Suppose an analyst has a measured alpha of .2% with a standard error of 2%, as in our example. What is the probability that the positive alpha is due to luck of the draw and that true ability is zero?
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The alpha exceeds zero by 22 1 standard deviations ...View the full answer
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ISE Investments
ISBN: 9781260571158
12th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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