The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
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.
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Citations
Cites
Sharpe, W. F. (1966) · The Journal of Business · doi:10.1086/294846 · Cited by 3,937
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Cited by
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Do Brokerage Analysts' Recommendations Have Investment Value?
WOMACK, K. L. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05205.x · Cited by 1,931
Returns from Investing in Equity Mutual Funds 1971 to 1991
MALKIEL, B. G. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04795.x · Cited by 1,745
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Metadata
- Authors
- Elton, E. J., Gruber, M. J., Das, S., & Hlavka, M.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1993-01
- Volume
- 6
- Issue
- 1
- Pages
- 1-22
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1991675125
- Cited by
- 869
- References
- 3
- FWCI
- 22.63
- Type
- journal article
- Language
- en
- Open access
- closed
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- Elton, E. J., Gruber, M. J., Das, S., & Hlavka, M. (1993). Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios. Review of Financial Studies. https://doi.org/10.1093/rfs/6.1.1
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
