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

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Cited by:

  1. Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
  2. Ľuboš Pástor & M Blair Vorsatz & Jeffrey Pontiff, 0. "Mutual Fund Performance and Flows during the COVID-19 Crisis," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 791-833.
  3. 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.
  4. Erik Theissen & Mario Greifzu, 1998. "Performance deutscher Rentenfonds," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 436-461, May.
  5. 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.
  6. Zawadowski, Ádám, 2017. "Kezelési költségük határozza-e meg a Magyarországon forgalmazott részvénypiaci befektetési alapok teljesítményét? [Do fees determine the performance of stock mutual funds sold in Hungary?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1186-1201.
  7. 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, University of Reading.
  8. 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.
  9. 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.
  10. Zarutskie, Rebecca, 2010. "The role of top management team human capital in venture capital markets: Evidence from first-time funds," Journal of Business Venturing, Elsevier, vol. 25(1), pages 155-172, January.
  11. 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.
  12. M. Middeldorp & S. Rosenkranz, 2008. "Information acquisition in an experimental asset market," Working Papers 08-25, Utrecht School of Economics.
  13. 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, September.
  14. 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, University of Reading.
  15. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Riadh Manita, 2019. "Idiosyncratic risk and mutual fund performance," Annals of Operations Research, Springer, vol. 281(1), pages 349-372, October.
  16. 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.
  17. Rogér Otten & Dennis Bams, 2004. "How to measure mutual fund performance: economic versus statistical relevance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(2), pages 203-222, July.
  18. Andrew Clare, 2022. "Is there a boutique asset management premium? Evidence from the European fund management industry," Journal of Asset Management, Palgrave Macmillan, vol. 23(1), pages 19-32, February.
  19. 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.
  20. 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.
  21. Aysha Sami Latif & Attaullah Shah, 2021. "The Impact of Quality of Accounting Information on Cost of Capital: Insight from an Emerging Economy," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(4), pages 292-307, April.
  22. Hammouda, Amira & Saeed, Asif & Vidal, Marta & Vidal-García, Javier, 2023. "On the short-term persistence of mutual fund performance in Europe," Research in International Business and Finance, Elsevier, vol. 65(C).
  23. Stephen Brown & William Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm21, Yale School of Management, revised 01 Apr 2008.
  24. Kiyoung Chang & Hoje Jo & Ying Li, 2018. "Is there Informational Value in Corporate Giving?," Journal of Business Ethics, Springer, vol. 151(2), pages 473-496, August.
  25. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
  26. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  33. 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.
  34. Ana C. Díaz†Mendoza & Germán López†Espinosa & Miguel A. Martínez, 2014. "The Efficiency of Performance†Based Fee Funds," European Financial Management, European Financial Management Association, vol. 20(4), pages 825-855, September.
  35. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc.
  36. Philip Gharghori & Charly Sujoto & Madhu Veeraraghavan, 2008. "Are Australian Investors Smart?," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 525-544, March.
  37. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2019. "Does active management add value? New evidence from a quantile regression approach," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1734-1751, October.
  38. 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.
  39. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "On the Industry Concentration of Actively Managed Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 60(4), pages 1983-2011, August.
  40. 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.
  41. 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, July-Dece.
  42. Shariq Ahmad Bhat, 2018. "Informational efficiency of sovereign bond markets of India and China: evidence from Toda and Yamamoto Granger causality (1995)," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 313-323, December.
  43. Judith Chevalier & Glenn Ellison, 1999. "Are Some Mutual Fund Managers Better Than Others? Cross‐Sectional Patterns in Behavior and Performance," Journal of Finance, American Finance Association, vol. 54(3), pages 875-899, June.
  44. N. Kreander & R.H. Gray & D.M. Power & C.D. Sinclair, 2005. "Evaluating the Performance of Ethical and Non‐ethical Funds: A Matched Pair Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1465-1493, September.
  45. 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.
  46. David R. Gallagher & Prashanthi Nadarajah, 2004. "Top Management Turnover: An Analysis of Active Australian Investment Managers," Australian Journal of Management, Australian School of Business, vol. 29(2), pages 243-274, December.
  47. Edwin J. Elton & Martin J. Gruber & Andre de Souza, 2016. "Target Risk Funds," European Financial Management, European Financial Management Association, vol. 22(4), pages 519-539, September.
  48. 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.
  49. 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.
  50. 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.
  51. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
  52. 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.
  53. 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.
  54. Zabiulla, 2012. "Macro Forecasting Abilities of Mutual Fund Managers in the Indian Capital Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 3(2), pages 06-11, May.
  55. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2012. "False Discoveries in UK Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 18(3), pages 444-463, June.
  56. Louis K. C. Chan & Stephen G. Dimmock & Josef Lakonishok, 2009. "Benchmarking Money Manager Performance: Issues and Evidence," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4553-4599, November.
  57. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  58. Konstantina Pendaraki & Michael Doumpos & Constantin Zopounidis, 2003. "Assessing Equity Mutual Funds' Performance Using a Multicriteria Methodology: A Comparative Analysis," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 1(1), pages 85-104.
  59. Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
  60. 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.
  61. Huij, Joop & Verbeek, Marno, 2007. "Cross-sectional learning and short-run persistence in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 973-997, March.
  62. Li, Zhiyong & Rao, Xiao, 2023. "Exploring the zoo of predictors for mutual fund performance in China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  63. repec:use:tkiwps:2525 is not listed on IDEAS
  64. Muhammad Zeeshan & Jiabin Han & Alam Rehman & Kashif Saleem & Raza Ullah Shah & Amir Ishaque & Naveed Farooq & Arif Hussain, 2020. "Conventional Mutual Funds Out Perform Islamic Mutual Funds in the Context of Pakistan. A Myth or Reality," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 151-157.
  65. Khaled Obaid & Kuntara Pukthuanthong, 2021. "Informativeness of mutual fund advertisements: Does advertising communicate fund quality to investors?," Financial Management, Financial Management Association International, vol. 50(1), pages 203-236, March.
  66. Patro, Dilip Kumar, 2001. "Measuring performance of international closed-end funds," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1741-1767, September.
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  68. Annaert, Jan & De Ceuster, Marc J. K. & Van Hyfte, Wim, 2005. "The value of asset allocation advice: Evidence from The Economist's quarterly portfolio poll," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 661-680, March.
  69. David R. Gallagher & Prashanthi Nadarajah & Matt Pinnuck, 2006. "Top Management Turnover: An Examination of Portfolio Holdings and Fund Performance," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 265-292, December.
  70. Stanley Block & Dan French, 2002. "The effect of portfolio weighting on investment performance evaluation: The case of actively managed mutual funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 16-30, March.
  71. Juan Carlos Matallin-Saez, 2011. "On causality in the size-efficiency relationship: the effect of investor cash flows on the mutual fund industry," Applied Economics, Taylor & Francis Journals, vol. 43(27), pages 4069-4079.
  72. Yanan Li & Wenjun Wang, 2022. "Company visits and mutual fund performance: new evidence on managerial skills," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 504-521, October.
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