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...

This study examines the effect of institutional investor influence on the structure of corporate boards. We focus on investor influences with respect to reducing board size and increasing board independence. Measures of institutional influence are negatively related to board size and positively...

Shareholdings for a sample of forty-nine Australian institutional equity funds show that dividend policy affects institutional holdings. Institutions tend to hold stocks that pay dividends, but among dividend-paying stocks there is no simple preference for stocks with either the highest or...

Recent results from the hedge fund literature provide evidence that option-based risk factors may be a significant factor in managed fund returns. By examining a unique database of high-frequency holdings and transactions from a representative sample of forty Australian equity funds we find that...

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...

This study provides an empirical examination of derivative instruments used by institutional investors. Our analysis provides a unique insight into the role of derivative securities within portfolios, and the potential benefits from their use. We contribute to the literature using a database...

This study examines the active asset allocation decisions of Australian multi-sector fund managers to determine whether active fund managers engage in momentum strategies. We find evidence supporting the existence of momentum investing in active asset allocation strategies. This evidence exists...

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...

This study examines how the termination of superannuation investment mandates contributes to the departure of top fund managers in companies delegated the portfolio management role. Terminations of superannuation plan mandates increase the probability of a fund company changing the responsible...

Previous research examining the price impact of institutional trading concludes that index funds incur higher liquidity costs due to the higher demand for trading immediacy. However, this conclusion has only been inferred by comparing the total price impact of active and index funds. This study...