Trading Behaviour and the Performance of Daily Institutional Trades

23 Pages Posted: 8 May 2006

See all articles by Adrian Looi

Adrian Looi

UNSW Australia Business School, School of Banking and Finance

David R. Gallagher

Rozetta Institute

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Abstract

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 equity managers are able to successfully exploit private information more readily in stocks ranked 101-150 by market-cap, where the degree of analyst coverage, information flows and market efficiency are lower than for large-cap stocks. We also find evidence of manager specialization. Our evidence provides further support of the value of active investment management in Australian equities.

JEL Classification: G12, G14, G15, G23, G29

Suggested Citation

Looi, Adrian and Gallagher, David R., Trading Behaviour and the Performance of Daily Institutional Trades. Accounting and Finance, Vol. 46, No. 1, pp. 125-147, March 2006, Available at SSRN: https://ssrn.com/abstract=889780 or http://dx.doi.org/10.1111/j.1467-629X.2005.00146.x

Adrian Looi

UNSW Australia Business School, School of Banking and Finance ( email )

Sydney, NSW 2052
Australia

David R. Gallagher (Contact Author)

Rozetta Institute ( email )

Sydney

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