Here is a very good interview with economist William Sharpe (Nobel prize winner, http://en.wikipedia.org/wiki/William_Forsyth_Sharpe) that also explains why cheap index funds are better for most investors. The whole interview is very interesting (and long) but for the investing theory on why this true, you can just skip to around 30:00 minutes.

https://www.youtube.com/watch?v=pGIzygsvqck

*Edited to include Wikipedia article of Sharpe for those that don't know who he is.