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Trading behaviour and the performance of daily institutional trades
Author(s) -
Gallagher David R.,
Looi Adrian
Publication year - 2006
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.2005.00146.x
Subject(s) - equity (law) , exploit , business , stock (firearms) , investment management , stock market , financial economics , finance , economics , mechanical engineering , paleontology , computer security , horse , political science , computer science , market liquidity , law , biology , engineering
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.