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Stock preferences and derivative activities of Australian fund managers
Author(s) -
Pinnuck Matt
Publication year - 2004
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2004.00102.x
Subject(s) - manager of managers fund , closed end fund , business , volatility (finance) , portfolio , stock (firearms) , income fund , investment fund , investment management , stock exchange , monetary economics , financial economics , finance , open end fund , fund administration , target date fund , management fee , economics , institutional investor , corporate governance , mechanical engineering , market liquidity , engineering
The present paper examines both the characteristics of stocks that fund managers prefer to hold and their use of derivatives. We find strong evidence that fund managers prefer large, liquid and low volatility stocks. Weak evidence exists that fund managers prefer to hold stocks that are past winners. In relation to derivatives, just over half of the sampled Australian fund managers hold derivatives in the form of exchange traded options. Of those that do trade in derivatives, it is found the level of exposure to stock price movements achieved by options is not significant relative to the total investment portfolio.