Prospect theory of Kahneman and Tversky (1979) suggests that traders will typically lock in gains and gamble on losses. In extreme situations such behavior can lead to significant downside risk for fund investors. Weisman (2002) uses the term informationless investing to describe this behavior,...

In a sequence of trades in the same direction across fund managers, we expect the long-term return of a trade to be increasing in the number of subsequent trades if fund managers' trading is driven by private information. In contrast, information cascades imply the lack of such a relationship....

This study examines the relationship between top management turnover (i.e. investment directors) and investment performance for actively managed Australian funds. This issue is significant given the importance of executive management in the implementation of the institution's investment...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We find index and enhanced funds earn returns and exhibit risk commensurate with underlying indices. Relative to index funds, enhanced index...

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 examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds, Australian share...

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,...

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...

We examine the relation of active equity fund managers' location proximity to a stock's headquarters and fund managers' stock selection skill and investment behaviour using a representative sample of Australian institutional equity funds. Contrary to the findings of much international research,...

This study proposes methodological adjustments to the widely adopted performance benchmarking methodology of Daniel et al. (1997) as a means of improving the precision of alpha measurement for active equity fund managers. We achieve this by considering the monthly updating of characteristic...