This study proposes and validates ldquo;other informationrdquo; in analysts' forecasts as a legitimate proxy for future cash flows, and examines its incremental role in explaining stock return volatility. We suggest that ldquo;other informationrdquo; contains information about fundamentals...

Trading is the mechanism of the economist's 'invisible hand;' the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not...

We examine the pricing and performance of advisers in Mamp;A transactions. We determine adviser quality on the basis of a contemporaneous market share measure and show that high quality advisers receive higher Mamp;A advisory fees. High quality advisers also complete deals faster, but their...

This study proposes and validates “other information” in analysts' forecasts as a legitimate proxy for future cash flows, and examines its incremental role in explaining stock return volatility. We suggest that “other information” contains information about fundamentals beyond that...

This study examines the extent to which the abnormal performance of active Australian small-cap equity fund managers, previously documented by Chen et al. (2010), is associated with broker recommendations. Our empirical evidence supports the investment value of broker recommendations, showing...

This study extends an examination of Quality investing in the US (Gallagher et al., 2013) to the Australian market. Specifically, a Quality score is computed as the aggregate of eight fundamental accounting metrics. An investment strategy investing in the highest (lowest) quality stock quintile...

This study investigates how the quality of stocks owned by mutual funds affects the performance of those funds during 2000-2009. The quality of a stock is positively related to its size, while quality is inversely related to volatility. Evidently, stocks in the lowest quality decile perform...

This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.67 (-0.62) percent for purchases (sales). This is significantly larger than costs reported in prior research. No significant asymmetries in the...

Using a representative sample of monthly portfolio holdings and daily trades, this study presents unique evidence of significant stock selection skill amongst institutional small-cap equity managers on a risk-adjusted basis. Of particular importance is the magnitude of the performance generated...

We examine detailed daily Australian Stock Exchange share registry data for investors in IPO and index stocks between 1995 and 2000 and find that the quot;disposition effectquot;, investors' reluctance to crystallise losses and relative eagerness to realise gains, is pervasive across investor...