Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
重新审视1965-84年共同基金业绩的信息效率，发现考虑非标普资产后，基金收益不足以弥补信息获取成本。
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.