Stock Preferences and Derivative Activities of Australian Fund Managers

24 Pages Posted: 30 Apr 2004

See all articles by Matt Pinnuck

Matt Pinnuck

University of Melbourne - Department of Accounting and Business Information Systems

Abstract

The present paper examines both the characteristics of stocks that fund managers prefer to hold and their use of derivatives. We find strong evidence that fund managers prefer large, liquid and low volatility stocks. Weak evidence exists that fund managers prefer to hold stocks that are past winners. In relation to derivatives, just over half of the sampled Australian fund managers hold derivatives in the form of exchange traded options. Of those that do trade in derivatives, it is found the level of exposure to stock price movements achieved by options is not significant relative to the total investment portfolio.

JEL Classification: G11, G23

Suggested Citation

Pinnuck, Matthew, Stock Preferences and Derivative Activities of Australian Fund Managers. Available at SSRN: https://ssrn.com/abstract=513263

Matthew Pinnuck (Contact Author)

University of Melbourne - Department of Accounting and Business Information Systems ( email )

Victoria
Melbourne, Victoria 3010 3010
Australia

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