Trading behaviour and the performance of daily institutional trades

David R. Gallagher*, Adrian Looi

*Corresponding author for this work

Research output: Contribution to journalArticle

26 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)125-147
Number of pages23
JournalAccounting and Finance
Volume46
Issue number1
DOIs
Publication statusPublished - Mar 2006
Externally publishedYes

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