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Rev Fin 1993; 6:1-22
© 1993 the Society for Financial Studies

Article

Efficiency with costly information: a reinterpretation of evidence from managed portfolios

EJ Eltonz, MJ Gruber, S Das and M Hlavka
Stern School of Business, Department of Finance, 44 West 4th Street, New York, NY 10012, USA
z Corresponding author

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. 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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