An Examination of the Market Impact Costs ofActive Australian Equity Managers

نویسندگان

  • David R. Gallagher
  • Adrian Looi
  • ABOUT SIRCA
چکیده

*This research was originally sponsored by Mercer Investment Consulting. The study has benefited from the supercomputing infrastructure provided by SIRCA. We have also received helpful comments and suggestions from the following individuals; Garrie Lette (Mercer IC), Greg Liddell (QIC), Simone Brands (Probatis Partners), Carole Comerton-Forde (University of Sydney), Kingsley Fong (UNSW), Teddy Oetomo (University of Sydney) and Terry Walter (UNSW).

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Daily Trading Behaviour and the Performance of Investment Managers*

This paper examines the ability of Australian active equity managers to provide superior risk adjusted performance. Utilising daily trade level data, we investigate the role of trade and manager characteristics in trading performance and market impact costs. In terms of trade characteristics, we find evidence of superior trade performance, where such performance is an increasing function of tra...

متن کامل

Active investment manager portfolios and preferences for stock characteristics: Australian evidence*

This paper investigates the stock characteristic preferences of active Australian equity managers. We examine the following characteristics: stock price variance, momentum, size, transaction costs, earnings yield, analyst coverage and the standard deviation of analyst forecasts. In aggregate we find that active managers exhibit preferences for stocks exhibiting high price variance, large market...

متن کامل

Size and Investment Performance : A Research Note

This study examines the performance of actively managed Australian equity funds and the extent to which both fund size and manager size is related to risk-adjusted returns. Larger investment managers, by definition, engage in higher trade volume. The literature documents that transaction costs and trade difficulty increase with trade size, given difficulties associated with ‘large’ trades and t...

متن کامل

DAVID R . GALLAGHER AND KYLE M . MARTIN Size and Investment Performance : A Research Note

This study examines the performance of actively managed Australian equity funds and the extent to which both fund size and manager size is related to risk-adjusted returns. Larger investment managers, by definition, engage in higher trade volume. The literature documents that transaction costs and trade difficulty increase with trade size, given difficulties associated with ‘large’ trades and t...

متن کامل

Active investment manager portfolios and preferences for stock characteristics*

This study investigates the stock characteristic preferences of institutional Australian equity managers. In aggregate we find that active managers exhibit preferences for stocks exhibiting high price variance, large market capitalisation, low transaction costs, value-oriented stocks, greater levels of analyst coverage, and some evidence of a preference for stocks with less variability in analy...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2003