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Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios

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Cited by:

  1. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2015. "Gender, style diversity, and their effect on fund performance," Research in International Business and Finance, Elsevier, vol. 35(C), pages 57-74.
  2. Diane Del Guercio & Jonathan Reuter, 2014. "Mutual Fund Performance and the Incentive to Generate Alpha," Journal of Finance, American Finance Association, vol. 69(4), pages 1673-1704, August.
  3. Ľuboš Pástor & Robert F. Stambaugh & Lucian A. Taylor, 2017. "Do Funds Make More When They Trade More?," Journal of Finance, American Finance Association, vol. 72(4), pages 1483-1528, August.
  4. Lunde, Asger & Timmermann, Allan & Blake, David, 1999. "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 121-152, April.
  5. Chordia, Tarun, 1996. "The structure of mutual fund charges," Journal of Financial Economics, Elsevier, vol. 41(1), pages 3-39, May.
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  7. Miles Livingston & Edward S. O'Neal, 1998. "The Cost Of Mutual Fund Distribution Fees," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 205-218, June.
  8. Nicolaj Siggelkow, 1998. "Why Focus? A Study of Intra-Industry Focus Effects," Center for Financial Institutions Working Papers 99-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
  9. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013. "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
  10. Nanda, Vikram & Narayanan, M. P. & Warther, Vincent A., 2000. "Liquidity, investment ability, and mutual fund structure," Journal of Financial Economics, Elsevier, vol. 57(3), pages 417-443, September.
  11. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, Reading University.
  12. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
  13. Pendaraki, K. & Zopounidis, C. & Doumpos, M., 2005. "On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds," European Journal of Operational Research, Elsevier, vol. 163(2), pages 462-481, June.
  14. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, "undated". "Mutual fund trading costs," Rodney L. White Center for Financial Research Working Papers 27-99, Wharton School Rodney L. White Center for Financial Research.
  15. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
  16. Droms, William G. & Walker, David A., 1996. "Mutual fund investment performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 347-363.
  17. Ko, K. Jeremy & (James) Huang, Zhijian, 2007. "Arrogance can be a virtue: Overconfidence, information acquisition, and market efficiency," Journal of Financial Economics, Elsevier, vol. 84(2), pages 529-560, May.
  18. Henrik Cronqvist, 2005. "Advertising and Portfolio Choice," CeRP Working Papers 44, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  19. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc.
  20. Murthi, B. P. S. & Choi, Yoon K. & Desai, Preyas, 1997. "Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 98(2), pages 408-418, April.
  21. Andreas Hoepner & Lisa Schopohl, 2015. "Red versus Blue: Do Political Dimensions Influence the Investment Preferences of State Pension Funds?," ICMA Centre Discussion Papers in Finance icma-dp2015-06, Henley Business School, Reading University.
  22. Sawicki, Julia & Ong, Fred, 2000. "Evaluating managed fund performance using conditional measures: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 505-528, July.
  23. Stephen Brown & William Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," Yale School of Management Working Papers ysm87, Yale School of Management, revised 01 Apr 2008.
  24. Fletcher, Jonathan, 1999. "The evaluation of the performance of UK American unit trusts," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 455-466, November.
  25. Gallagher, David R. & Jarnecic, Elvis, 2004. "International equity funds, performance, and investor flows: Australian evidence," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 81-95, February.
  26. Terrence Hallahan & Robert Faff, 2001. "Induced persistence or reversals in fund performance?: the effect of survivorship bias," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 119-126.
  27. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
  28. El-Mehdi Barca, 2015. "Familiarity of Algerian Investors with Socially Responsible Investment (SRI)," International Journal of Management Science and Business Administration, Inovatus Services Ltd., vol. 1(4), pages 73-85, March.
  29. Laurent Barras & Olivier Scaillet & Russ Wermers, 2010. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, February.
  30. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2008. "The Small World of Investing: Board Connections and Mutual Fund Returns," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 951-979, October.
  31. Feng, Xunan & Johansson, Anders C., 2015. "Can mutual funds pick stocks in China? Evidence from the IPO market," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 170-186.
  32. J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002. "The Value of Asset Allocation Advice - Evidence of The Economist’s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/160, Ghent University, Faculty of Economics and Business Administration.
  33. Dariusz Stanko, 2003. "Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance MeasurementIssues," Public Economics 0302001, University Library of Munich, Germany.
  34. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," NBER Working Papers 8173, National Bureau of Economic Research, Inc.
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  36. Engstrom, Stefan, 2003. "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 463-482, September.
  37. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "Transaction-cost Expenditures and the Relative Performance of Mutual Funds," Center for Financial Institutions Working Papers 00-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
  38. Martin Gold, 2010. "Fiduciary Finance," Books, Edward Elgar Publishing, number 13813.
  39. Whitehouse, Edward, 2000. "Paying for pensions: An international comparison of administrative charges in funded retirement-income systems," MPRA Paper 14171, University Library of Munich, Germany.
  40. Angela Frino & Richard Heaney & David Service, 2005. "Do Past Performance and Past Cash Flows Explain Current Cash Flows into Retail Superannuation Funds in Australia?," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 229-244, December.
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  42. Bruce Costa & Gary Porter, 2003. "Mutual fund managers: Does longevity imply expertise?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 224-235, June.
  43. Miles Livingston & Edward S. O'Neal, 1996. "Mutual Fund Brokerage Commissions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 273-292, June.
  44. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2014. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence of Islamic and Socially Responsible Funds," Working Papers 2014/19, Economics Department, Universitat Jaume I, Castellón (Spain).
  45. Dariusz Stanko, 2003. "Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland," Finance 0306002, University Library of Munich, Germany.
  46. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
  47. Hassan, Abul & Antoniou, Antonios & Paudyal, D Krishna, 2005. "Impact Of Ethical Screening On Investment Performance: The Case Of The Dow Jones Islamic Index," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 12, pages 68-97.
  48. Indro, D. C. & Jiang, C. X. & Patuwo, B. E. & Zhang, G. P., 1999. "Predicting mutual fund performance using artificial neural networks," Omega, Elsevier, vol. 27(3), pages 373-380, June.
  49. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  50. Olivia S. Mitchell, 1998. "Administrative Costs in Public and Private Retirement Systems," NBER Chapters,in: Privatizing Social Security, pages 403-456 National Bureau of Economic Research, Inc.
  51. David R. Gallagher, 2007. "The role of index funds in retirement asset allocation," Chapters,in: Retirement Provision in Scary Markets, chapter 4 Edward Elgar Publishing.
  52. Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016. "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 124-147.
  53. Vidal-García, Javier & Vidal, Marta & Boubaker, Sabri & Uddin, Gazi Salah, 2016. "The short-term persistence of international mutual fund performance," Economic Modelling, Elsevier, vol. 52(PB), pages 926-938.
  54. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
  55. Michael K. Berkowitz & Yehuda Kotowitz, 1997. "Management Compensation and the Performance of Mutual Funds," Working Papers berk-97-01, University of Toronto, Department of Economics.
  56. Kee-Hong Bae & Junesuh Yi, 2008. "The Impact of the Short-Short Rule Repeal on the Timing Ability of Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 969-997.
  57. Miguel Martinez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 199-218.
  58. Ruckman, Karen, 2004. "Mode of entry mode into a foreign market: the case of U.S. mutual funds in Canada," Journal of International Economics, Elsevier, vol. 62(2), pages 417-432, March.
  59. Carmen Pilar Martí Ballester, 2014. "Determinants of equity pension plan flows," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 125-148, June.
  60. Berkowitz, Michael K. & Qiu, Jiaping, 2003. "Ownership, risk and performance of mutual fund management companies," Journal of Economics and Business, Elsevier, vol. 55(2), pages 109-134.
  61. Bauer, Rob & Otten, Roger & Rad, Alireza Tourani, 2006. "Ethical investing in Australia: Is there a financial penalty?," Pacific-Basin Finance Journal, Elsevier, vol. 14(1), pages 33-48, January.
  62. Carlos Alves & Victor Mendes, 2004. "Self-Interest on Mutual Fund Management: Evidence from the Portuguese Market," FEP Working Papers 162, Universidade do Porto, Faculdade de Economia do Porto.
  63. Edelen, Roger M., 1999. "Investor flows and the assessed performance of open-end mutual funds," Journal of Financial Economics, Elsevier, vol. 53(3), pages 439-466, September.
  64. Babalos, Vassilios & Mamatzakis, Emmanuel C. & Matousek, Roman, 2015. "The performance of US equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 217-229.
  65. Wagner, Niklas & Winter, Elisabeth, 2013. "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 69-85.
  66. patel, saurin & sarkissian, sergei, 2012. "To Group or Not to Group? Evidence from Mutual Funds," MPRA Paper 38496, University Library of Munich, Germany.
  67. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
  68. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
  69. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2016. "Ethical strategy focus and mutual fund management: performance and persistence," Working Papers 2016/01, Economics Department, Universitat Jaume I, Castellón (Spain).
  70. Jeon, Hyunglae & Kang, Jangkoo & Lee, Changjun, 2017. "Precision about manager skill, mutual fund flows, and performance persistence," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 222-237.
  71. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  72. Louis K.C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 1999. "On Mutual Fund Investment Styles," NBER Working Papers 7215, National Bureau of Economic Research, Inc.
  73. Ahmed El-Masry & Dalia El-Mosallamy & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2015. "Mutual Fund Performance in MENA Countries: Environmental Conditions and Fund Characteristics," Working Papers 2015/02, Economics Department, Universitat Jaume I, Castellón (Spain).
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  75. Daraio, Cinzia & Simar, Leopold, 2006. "A robust nonparametric approach to evaluate and explain the performance of mutual funds," European Journal of Operational Research, Elsevier, vol. 175(1), pages 516-542, November.
  76. Choi, Yoon K., 1995. "The sensitivity in tests of the efficiency of a portfolio and portfolio performance measurement," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(2), pages 187-206.
  77. Martin T. Bohl, Judith Lischewski and Svitlana Voronkova, 2008. "Does Regulation Hurt Pension Funds' Performance? Evidence from Strongly Regulated Pension Fund Industries," The Institute for International Integration Studies Discussion Paper Series iiisdp247, IIIS.
  78. Dahm, Laura K. & Sorhage, Christoph, 2015. "Milk or wine: Mutual funds' (dis)economies of life," CFR Working Papers 15-05, University of Cologne, Centre for Financial Research (CFR).
  79. Harless, David W. & Peterson, Steven P., 1998. "Investor behavior and the persistence of poorly-performing mutual funds," Journal of Economic Behavior & Organization, Elsevier, vol. 37(3), pages 257-276, November.
  80. Sophie Xiaofei Kong & Dragon Yongjun Tang, 2008. "Unitary Boards And Mutual Fund Governance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 193-224.
  81. Danny Yeung, 2012. "The Impact of Institutional Ownership: A Study of the Australian Equity Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 11.
  82. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
  83. Bechmann, Ken L. & Rangvid, Jesper, 2007. "Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 662-693, December.
  84. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
  85. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3-4), pages 539-578.
  86. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
  87. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
  88. Gil-Bazo, Javier & Ruiz-Verdú, Pablo, 2008. "When cheaper is better: Fee determination in the market for equity mutual funds," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 871-885, September.
  89. Babalos, Vassilios & Kostakis, Alexandros & Philippas, Nikolaos, 2009. "Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 256-272, October.
  90. Barclay, Michael J. & Pearson, Neil D. & Weisbach, Michael S., 1998. "Open-end mutual funds and capital-gains taxes," Journal of Financial Economics, Elsevier, vol. 49(1), pages 3-43, July.
  91. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
  92. Raza, Syed Ali & Raza, Syed Aoun & Zia, Abassi, 2011. "Equity mutual funds performance in Pakistan: risk & return analysis," MPRA Paper 36804, University Library of Munich, Germany.
  93. Chacko, George & Das, Sanjiv Ranjan, 1999. "A theory of optimal timing and selectivity," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 929-965, June.
  94. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
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  96. Deaves, Richard, 2004. "Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 673-694, March.
  97. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds’ structure, performance and investments: cross-country evidence," MPRA Paper 14753, University Library of Munich, Germany.
  98. Bessler, Wolfgang & Blake, David & Lückoff, Peter & Tonks, Ian, 2010. "Why does mutual fund performance not persist? The impact and interaction of fund flows and manager changes," MPRA Paper 34185, University Library of Munich, Germany.
  99. Alex Frino & David R. Gallagher, 2002. "Is Index Performance Achievable? An Analysis of Australian Equity Index Funds," Abacus, Accounting Foundation, University of Sydney, vol. 38(2), pages 200-214.
  100. Makni, Rania & Benouda, Olfa & Delhoumi, Ezzedine, 2016. "International evidence on Islamic equity fund characteristics and performance persistence," Review of Financial Economics, Elsevier, vol. 31(C), pages 75-82.
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  103. Morey, Matthew R., 2003. "Should you carry the load? A comprehensive analysis of load and no-load mutual fund out-of-sample performance," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1245-1271, July.
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  117. El-Masry, Ahmed A. & de Mingo-López, Diego Víctor & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2016. "Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 174-197.
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