Cremers, Martijn; Petajisto, Antti; Zitzewitz, Eric - In: Critical Finance Review 2 (2013) 1, pp. 1-48
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas primarily arise from the disproportionate weight that the Fama-French factors place on...