We investigate whether Australian fund managers are able to deliver persistent performance using Carhart's (1997) four-factor model. Short- and long-term persistence is examined and the sample is also divided into unit trusts and superannuation funds. We do not find evidence of persistence in...

This study seeks to disentangle the effects of size, book-to-market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book-to-market. Three key findings...

Existing theoretical models indicate that intraday patterns on stock exchanges are caused by the strategic interaction of informed and liquidity traders. Using unique data from the Helsinki Stock Exchange, which allows individual trades to be attributed to informed and liquidity traders, this...

Value investment strategies are premised on research that value stocks outperform growth stocks. However, the research findings are dependent on the portfolio classification method that is used to sort stocks using the attributes of size and book-to-market ratios. Different stock markets contain...

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for larger portfolios, and that this finding explains the...

We investigate whether firms’ corporate social performance (CSP) ratings impact their performance (cost of capital) and risk. Using a proprietary CSP ratings database, we find no difference in the risk-adjusted performance of UK firms with high and low CSP ratings. Additionally, the firms do...

Perhaps the most common criticism of socially responsible investment funds is that imposing non-financial screens restricts investment opportunities, reduces diversification efficiencies and thereby adversely impacts performance. In this study we investigate this proposition and test whether the...

The paper reports on how a child protection agency capitalized on the knowledge acquired at the Improving Educational Outcomes for Children in Care conference to launch the development of a long term strategy to promote educational success for the children in its care. After attending the...