Rational Cross-Sectional Differences in Market Efficiency: Evidence from Mutual Fund Returns
研究发现，分析成本高的股票（如小盘成长股）市场效率较低，共同基金从中获得更高异常回报（月均0.76%），而分析成本低的大盘价值股异常回报仅0.05%。
Abstract Markets should be inefficient enough to allow returns to security analysis to adequately compensate the marginal analyst for his efforts. Cross-sectional differences in the costs of analysis therefore imply cross-sectional differences in market efficiency and in before-cost returns to smart investors. Small growth stocks are difficult to analyze and costly to trade. I find that the abnormal returns of mutual fund investments in small growth stocks from 1980 to 2006 averaged 0.76% per month. Large value stocks are easier to analyze and cheaper to trade. Mutual funds earned average monthly abnormal returns of only 0.05% in large value stocks during the same period.