Broker recommendations and Australian small-cap equity fund management

Comerton-Forde, C; Gallagher, DR; Lai, J; Walter, TS

Broker recommendations and Australian small-cap equity fund management

Comerton-Forde, C Gallagher, DR Lai, J Walter, TS

Permalink

Publisher:: Blackwell Publishing
Publication Type:: Journal Article
Citation:: Accounting & Finance, 2011, 51 (4), pp. 893 - 922
Issue Date:: 2011-01

Closed Access

	Filename	Description	Size
	2009006549OK.pdf		249.79 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Comerton-Forde, C	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.contributor.author	Lai, J	en_US
dc.contributor.author	Walter, TS	en_US
dc.date.issued	2011-01	en_US
dc.identifier.citation	Accounting & Finance, 2011, 51 (4), pp. 893 - 922	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15776
dc.description.abstract	This study examines whether the abnormal performance of active Australian small-cap equity fund managers is associated with broker recommendations. Our evidence supports the investment value of broker recommendations, showing significant abnormal returns (ARs) both pre- and post-broker recommendations. We find that when a factor-mimicking portfolio based on broker recommendations is added to a Carhart (1997) model, annual alphas are reduced by 48 basis points. Using transaction-level data, buy trades following broker recommendations earn significant cumulative ARs of 1.56 per cent after 60 days. Overall, we find that broker recommendations account for an economically significant component of alphas	en_US
dc.publisher	Blackwell Publishing	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0665826
dc.relation.ispartof	Accounting & Finance	en_US
dc.relation.isbasedon	10.1111/j.1467-629X.2010.00374.x	en_US
dc.subject.classification	Accounting	en_US
dc.title	Broker recommendations and Australian small-cap equity fund management	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	51	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1402 Applied Economics	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	true	en_US
pubs.issue	4	en_US
pubs.volume	51	en_US

Abstract:

This study examines whether the abnormal performance of active Australian small-cap equity fund managers is associated with broker recommendations. Our evidence supports the investment value of broker recommendations, showing significant abnormal returns (ARs) both pre- and post-broker recommendations. We find that when a factor-mimicking portfolio based on broker recommendations is added to a Carhart (1997) model, annual alphas are reduced by 48 basis points. Using transaction-level data, buy trades following broker recommendations earn significant cumulative ARs of 1.56 per cent after 60 days. Overall, we find that broker recommendations account for an economically significant component of alphas

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/15776