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Michael C. Jensen’s empirical work

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  • Fama, Eugene F.
  • French, Kenneth R.

Abstract

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.

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  • Fama, Eugene F. & French, Kenneth R., 2025. "Michael C. Jensen’s empirical work," Journal of Financial Economics, Elsevier, vol. 172(C).
    • Handle: RePEc:eee:jfinec:v:172:y:2025:i:c:s0304405x25001278
    DOI: 10.1016/j.jfineco.2025.104119
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