Trading behaviour and the performance of daily institutional trades

Gallagher, DR; Looi, A

Trading behaviour and the performance of daily institutional trades

Gallagher, DR Looi, A

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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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Field	Value	Language
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 (1), pp. 125 - 147	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10080
dc.description.abstract	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.	en_US
dc.publisher	Blackwell Publishing	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.subject.classification	Accounting	en_US
dc.title	Trading behaviour and the performance of daily institutional trades	en_US
dc.type	Journal Article
utslib.citation.volume	1	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	1	en_US
pubs.volume	46	en_US

Abstract:

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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http://hdl.handle.net/10453/10080