Active investment manager portfolios and preferences for stock characteristics

Brands, S; Gallagher, DR; Looi, A

Active investment manager portfolios and preferences for stock characteristics

Brands, S Gallagher, DR Looi, A

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Publisher:: Blackwell Publishing
Publication Type:: Journal Article
Citation:: Accounting and Finance, 2006, 46 (2), pp. 169 - 190
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Brands, S	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.contributor.author	Looi, A	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Accounting and Finance, 2006, 46 (2), pp. 169 - 190	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10023
dc.description.abstract	The present study investigates the stock characteristic preferences of institutional Australian equity managers. In aggregate we find that active managers exhibit preferences for stocks exhibiting high-price variance, large market capitalization, low transaction costs, value-oriented characteristics, greater levels of analyst coverage and lower variability in analyst earnings forecasts. We observe stronger preferences for higher volatility, value stocks and wider analyst coverage among smaller stocks. We also find that smaller investment managers prefer securities with higher market capitalization and analyst coverage (including low variation in the forecasts of these analysts). We also document that industry effects play an important role in portfolio construction.	en_US
dc.publisher	Blackwell Publishing	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.subject.classification	Accounting	en_US
dc.title	Active investment manager portfolios and preferences for stock characteristics	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	46	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	2	en_US
pubs.volume	46	en_US

Abstract:

The present study investigates the stock characteristic preferences of institutional Australian equity managers. In aggregate we find that active managers exhibit preferences for stocks exhibiting high-price variance, large market capitalization, low transaction costs, value-oriented characteristics, greater levels of analyst coverage and lower variability in analyst earnings forecasts. We observe stronger preferences for higher volatility, value stocks and wider analyst coverage among smaller stocks. We also find that smaller investment managers prefer securities with higher market capitalization and analyst coverage (including low variation in the forecasts of these analysts). We also document that industry effects play an important role in portfolio construction.

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http://hdl.handle.net/10453/10023