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

How researchers see this paper

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Are Markets Truly Efficient? Experiments Using Deep Learning Algorithms for Market Movement Prediction (2018, neutral): “One may argue that tests of market efficiency that assess whether mutual funds can beat the market (see [5]) are in effect using much larger conditioning data sets than single stock series.”
Bayesian Alphas and Mutual Fund Persistence (2006, methodology): “For the market capitalization factor, we use a daily frequency, value-weighted version of the Fama and French (1993) small market capitalization minus big market capitalization (SMB) factor.”
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. (2005, unknown): “…December 31, 2006, are based on the entire 32 years of the sample, 14This minority of funds is the driving force explaining the negative average estimated alpha that is widely documented in the literature (e.g., Jensen (1968), Carhart (1997), Elton et al. (1993), and Pastor and Stambaugh (2002a)).”
Islamic mutual funds’ financial performance and international investment style: evidence from 20 countries (2011, unknown): “A precise statistical correction for the influence of a global factor on its national equivalent is offered by Elton et al.’s (1993) orthogonalization approach.”