Active investment manager portfolios and preferences for stock characteristics

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dc.contributor.author Brands, S
dc.contributor.author Gallagher, DR
dc.contributor.author Looi, A
dc.date.accessioned 2010-05-28T09:53:36Z
dc.date.issued 2006-01
dc.identifier.citation Accounting and Finance, 2006, 46 (2), pp. 169 - 190
dc.identifier.issn 0810-5391
dc.identifier.other C1UNSUBMIT 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.
dc.publisher Blackwell Publishing
dc.title Active investment manager portfolios and preferences for stock characteristics
dc.type Journal Article
dc.parent Accounting and Finance
dc.journal.volume 2
dc.journal.volume 46
dc.journal.number 2 en_US
dc.publocation Oxford, UK en_US
dc.identifier.startpage 169 en_US
dc.identifier.endpage 190 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 107326
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Stock preferences ? Managed fund performance ? Equity portfolio characteristics ? Market efficiency ? Tracking error en_US
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
dc.description.keywords Stock preferences Managed fund performance Equity portfolio characteristics Market efficiency Tracking error
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10


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