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

Edwin J. Elton, Martin J. Gruber, Sanjiv Das and Matthew Hlavka
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Edwin J. Elton: New York University, USA
Martin J. Gruber: New York University, USA
Sanjiv Das: New York University, USA
Matthew Hlavka: New York University, USA

Chapter 5 in Investments and Portfolio Performance, 2010, pp 77-98 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe 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. We find 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, we find that mutual funds do not earn returns that justify their information acquisition costs. This is consistent with results for prior periods.

Keywords: Investments; Portfolio Management; Bond Pricing; Pension Funds; Estimating Taxes (search for similar items in EconPapers)
Date: 2010
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