Quarterly Journal of Economics Vol. 104 No. 1 1989
Efficiency With Costly Information: A Study of Mutual Fund Performance, 1965-1984
Abstract
If information is costly to collect and implement, then it is efficient for trades by informed investors to occur at prices sufficiently different from full-information prices to compensate them for the cost of becoming informed. This notion is tested by evaluating investment performance in the mutual fund industry over a 20-year period. The study finds evidence that is consistent with optimal trading in efficient markets. Risk-adjusted returns in the mutual fund industry, net of fees and expenses, are comparable to returns available in index funds; and portfolio turnover and management fees are unrelated to fund performance.
- DOI
- 10.2307/2937832
- Volume
- 104
- Issue
- 1
- Pages
- 1
- Sources
- openalex crossref