EFFICIENCY WITH COSTLY INFORMATION - A REINTERPRETATION OF EVIDENCE FROM MANAGED PORTFOLIOS

被引:282
作者
ELTON, EJ
GRUBER, MJ
DAS, S
HLAVKA, M
机构
关键词
D O I
10.1093/rfs/6.1.1
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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. 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.
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页码:1 / 22
页数:22
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