Efficiency with costly information: a reinterpretation of evidence from managed portfolios |
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Authors: | Elton EJ; Gruber MJ; Das S; Hlavka M |
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Institution: | Stern School of Business, Department of Finance, 44 West 4th Street, New York, NY 10012, USA
z Corresponding author |
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Abstract: | We investigate the informational efficiency of mutual fund performancefor the period 1965-84. Results are shown to be sensitive tothe measurement of performance chosen. We find that returnson S&P stocks, returns on non-S&P stocks, and returnson bonds are significant factors in performance assessment.Once we correct for the impact of non-S&P assets on mutualfund returns, we find that mutual funds do not earn returnsthat justify their information acquisition costs. This is consistentwith results for prior periods. |
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