Fund Size, Transaction Costs and Performance: Size Matters!

DSpace/Manakin Repository

Search OPUS


Advanced Search

Browse

My Account

Show simple item record

dc.contributor.author Chan, H
dc.contributor.author Faff, RW
dc.contributor.author Gallagher, DR
dc.contributor.author Looi, A
dc.date.accessioned 2010-05-28T09:53:57Z
dc.date.issued 2009-01
dc.identifier.citation Australian Journal of Management, 2009, 34 (1), pp. 73 - 96
dc.identifier.issn 1327-2020
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/10076
dc.description.abstract Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory indirectly. Our study, however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than those incurred by small managers. Furthermore, we show large managers exhibit preferences for trade package formation and portfolio characteristics consistent with transaction cost intimidation. We analyse the interaction between transaction cost intimidation and the fund size effect, and document that large managers pursuing a highly active trading strategy suffer more from fund size, than large funds following a more passive strategy. This suggests the fund size effect is related to transaction costs, as trading activity is a good proxy for expected market impact. Finally, based on a simulation experiment, we find that transaction cost intimidation is at least as important as the increase in market impact costs due to fund size.
dc.publisher Australian Graduate School of Management
dc.relation.isbasedon 10.1108/10309610910975324
dc.title Fund Size, Transaction Costs and Performance: Size Matters!
dc.type Journal Article
dc.parent Australian Journal of Management
dc.journal.volume 1
dc.journal.volume 34
dc.journal.number 1 en_US
dc.publocation Sydney, Australia en_US
dc.identifier.startpage 73 en_US
dc.identifier.endpage 96 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 FUND PERFORMANCE FUND SIZE MARKET IMPACT TRANSACTION COST en_US
dc.description.keywords FUND PERFORMANCE FUND SIZE MARKET IMPACT TRANSACTION COST
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
utslib.collection.history Closed (ID: 3)


Files in this item

This item appears in the following Collection(s)

Show simple item record