Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory indirectly. Our study, however, analyzes the...

Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory indirectly. Our study, however, analyses the...

This study utilizes a unique database comprising the daily transactions of institutional Australian equity managers to examine whether active investment managers realize abnormal returns from earnings announcements, the nature of the trading strategies employed to generate these abnormal...

Utilizing a unique database of daily trading activity, this 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...

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 characteristics,...

Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large...

The present 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 capitalization, low transaction costs, value-oriented...

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...