Trading behaviour and the performance of daily institutional trades

Publisher:
Blackwell Publishing
Publication Type:
Journal Article
Citation:
Accounting and Finance, 2006, 46 (1), pp. 125 - 147
Issue Date:
2006-01
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Using a unique database of daily trading activity, the present study examines the ability of active Australian equity managers to earn superior risk-adjusted returns. We find evidence of superior trade performance, where performance is a function of stock size. Our findings indicate that active equity managers are able to successfully exploit private information more readily in stocks ranked 101150 by market-cap, where the degree of analyst coverage, information flows and market efficiency are lower than for large-cap stocks. We also find evidence of manager specialization. Our evidence provides further support of the value of active investment management in Australian equities.
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