This Internet Appendix contains mathematical and empirical results on the market timing induced bias in Jensen's alpha using conditional models with time-varying skill in the spirit of Kacperczyk et al. (2014).Full paper available at "https://ssrn.com/abstract=1253923"...

Researchers use difference-in-differences models to evaluate the causal effects of policy changes. As the empirical correlation across firms and time can be ambiguous, estimating consistent standard errors is difficult and statistical inferences may be biased. We apply an approximate permutation...