In their seminal paper, Elton and Gruber examine the rationality of investors by analyzing their choices among index funds. They use regression analysis to examine the relationship between return measures and several variables that might predict return. Their findings suggest that both past returns and expenses are significant predictors of future performance, and this holds true over both short-term and long-term horizons.


Our Stata Code Implementation

We have developed a comprehensive Stata code that replicates the methodology used in Elton and Gruber’s paper. Our code covers the following analyses:

  • 3-Year and 1-Year Horizon Analysis
  • Predictability of Management Skill
  • Predictability of Risk

Our Stata code is designed to be user-friendly and easy to understand, even for those who are new to Stata. We provide clear comments and explanations for each part of the code to ensure that you can follow along and understand exactly what is happening at each step.


benefit of the package content integration Pricing

We offer two distinct packages for the “Stata code for Elton and Gruber’s ‘Are Investors Rational? Choices Among Index Funds’”.

  • Three Tables Package: Priced at 239 GBP, this package includes the Stata code for three tables from the paper. Choose this package to gain insights from key parts of the paper’s analysis.


  • Complete Analysis Package: Priced at 339 GBP, this package includes the Stata code for all seven tables from the paper. Opt for this comprehensive package to fully replicate the paper’s results and analyses.


Choose the package that best suits your needs and make the most of our offerings.


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          Why should you buy the code?

Dr. Attaullah Shah
Stata Code is cutomizable
Save time with our Stata code
Our Stata code is tested and validated