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- Title
Trading behaviour and the performance of daily institutional trades.
- Authors
Gallagher, David R.; Looi, Adrian
- 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 101–150 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.
- Subjects
AUSTRALIA; INVESTMENT policy; MATHEMATICAL models; INVESTMENT advisors; MATHEMATICAL economics; ECONOMETRICS; RESEARCH methodology; ECONOMIC models
- Publication
Accounting & Finance, 2006, Vol 46, Issue 1, p125
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629X.2005.00146.x