Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios

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ID: 300685
1993
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Abstract
We investigate the informational efficiency of mutual fund performance for the period 1965–84. Results are shown to be sensitive to the measurement of performance chosen. Wefind that returns on S&P stocks, returns on non-S&P stocks, and returns on bonds are significant factors in performance assessment. Once we correct for the impact of non-S&P assets on mutual fund returns, wefind that mutual funds do not earn returns that justify their information acquisition costs. This is consistent with results for prior periods.
Reference Key
openalex_W1991675125 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Edwin J. Elton, Martin J. Gruber, Sanjiv Ranjan Das, Matthew Hlavka
Journal review of financial studies
Year 1993
DOI
10.1093/rfs/6.1.1
URL
https://doi.org/10.1093/rfs/6.1.1
Keywords Keywords not found

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