I am being puzzled while calculating jensen's alpha for single stocks. I have monthly returns data and have calculated alpha for each stock on a monthly basis (used 36-month rolling window for beta estimation). Now, I need to convert my monthly alphas into quarterly and yearly observations. What is the best way to do it?
I thought of averaging over 3 and 12 months, respectively, but not sure if it's correct.
Would be glad if anyone could help!