ORCID Profile
0000-0003-4544-3916
Current Organisations
RoZetta Institute
,
Bond University
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Finance | Banking, Finance and Investment | Financial Institutions (Incl. Banking) |
Finance and investment services | Information processing services | Industry costs and structure
Publisher: SAGE Publications
Date: 12-2002
DOI: 10.1177/031289620202700204
Abstract: This paper examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. Security selection and market timing performance are evaluated using both unconditional models and conditional-performance evaluation techniques that account for public information and the time variation in risk. Overall, the results of this paper are consistent with the US and international evidence, documenting that performance is consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for retail Australian bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients.
Publisher: SAGE Publications
Date: 06-2009
DOI: 10.1177/031289620903400105
Abstract: 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, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than those incurred by small managers. Furthermore, we show large managers exhibit preferences for trade package formation and portfolio characteristics consistent with transaction cost intimidation. We analyse the interaction between transaction cost intimidation and the fund size effect, and document that large managers pursuing a highly active trading strategy suffer more from fund size, than large funds following a more passive strategy. This suggests the fund size effect is related to transaction costs, as trading activity is a good proxy for expected market impact. Finally, based on a simulation experiment, we find that transaction cost intimidation is at least as important as the increase in market impact costs due to fund size.
Publisher: SAGE Publications
Date: 04-2010
Abstract: Using a representative s le 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 by fund managers in our s le. Aggregate four-factor and five-factor alphas are 68 and 59.6 basis points per month before management expenses and tax, respectively. The evidence from holdings and transaction-based metrics of performance also reveals that small-cap equity managers possess superior stock selection ability, from both a statistical and economic perspective. Our results are robust to the deduction of transaction costs. Our research provides important non-U.S. evidence concerning the value of active management, in a market segment which exhibits both lower liquidity and lower analyst coverage.
Publisher: SAGE Publications
Date: 03-2008
DOI: 10.1177/031289620803200307
Abstract: We examine the relation of active equity fund managers' location proximity to a stock's headquarter and fund managers' stock selection skill and investment behaviour using a representative s le of Australian institutional equity funds. Contrary to the findings of much international research, our study reveals evidence which is inconsistent with a location advantage for Melbourne and Sydney active equity funds. Both Melbourne and Sydney fund managers overweight Melbourne stocks, exhibit skill in picking Sydney stocks and avoid poor performing Melbourne and Sydney stocks. In addition, we find no evidence of word-of-mouth trading effects in Melbourne or Sydney funds. Taken together, this suggests information asymmetries arising from location are weak for Melbourne and Sydney funds.
Publisher: SAGE Publications
Date: 23-04-2015
Abstract: This study develops a style rotation model based on quarterly forecasts of style factor (SF) returns, across four style categories, generated using market and macroeconomic data. The prescriptions from this model are tested on a s le of US active equity mutual funds’ portfolio holdings. An annual buy-and-hold style timing strategy investing in the factor with the highest forecast return each quarter achieves an average annual excess return of 7.26%, significant at the 1% level during 1981–2011. However, a fund-of-fund (FoF) timing strategy investing in the funds with the greatest exposure (i.e. the preferred funds) to the style predicted to outperform over the following year does not generate statistically significant Daniel, Grinblatt, Titman and Wermers (DGTW)-adjusted performance. The lack of performance is primarily because the long-only funds are by nature unable to fully exploit the long-short SF returns. This highlights the issue of using long-short portfolio returns, particularly when evaluating fund performance.
Publisher: Wiley
Date: 17-08-2010
Publisher: Elsevier BV
Date: 02-2004
Publisher: SAGE Publications
Date: 03-2008
DOI: 10.1177/031289620803200302
Abstract: Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated investment objective, there is variation in the degree of style bias within style groups. We document that funds actively adjust their portfolio holdings in response to passive style drift to retain a desired portfolio tilt. The degree of adjustment varies with the frequency over which the drift is measured, with funds being most responsive to changes in book-to-market and momentum drift. We also find that certain types of style drift affect portfolio turnover.
Publisher: Wiley
Date: 11-05-2020
DOI: 10.1111/ACFI.12483
Publisher: Informa UK Limited
Date: 2018
DOI: 10.2469/FAJ.V73.N1.1
Publisher: SAGE Publications
Date: 06-01-2015
Abstract: This study uses the trading records of institutional equity funds to examine their ex- idend trading behaviour. We argue that trading is influenced by the tax incentives facing the fund, the characteristics of in idual stocks and by changes in tax legislation. In aggregate, institutions trade to avoid the idend and franking credit. Changes in tax incentives and the fund’s tax status also affect ex- idend day trading, with unit trusts dominating the idend avoidance trades. The results indicate that taxes, transactions costs and the cum- idend price run-up influence the trading of institutional investors around the ex- idend day.
Publisher: Pageant Media US
Date: 31-10-2001
Publisher: Informa UK Limited
Date: 07-03-2022
Publisher: SAGE Publications
Date: 06-2009
DOI: 10.1177/031289620903400106
Abstract: This study examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active fund managers. When considering a large range of strategies incorporating fund portfolio holdings information, the top performing strategies are robust to data snooping and are both statistically significant and economically significant when incorporating transaction costs. These strategies are short term in nature, with statistically significant performance lasting up to nine months. When we account for look-ahead bias in the formation of a strategy, we find statistically significant alpha when following the best performing strategy holding 20 stocks or more in the previous month.
Publisher: Wiley
Date: 06-2007
Publisher: Wiley
Date: 07-2005
Publisher: Elsevier BV
Date: 12-2011
Publisher: Wiley
Date: 20-04-2017
DOI: 10.1111/ACFI.12129
Publisher: Wiley
Date: 11-2003
Publisher: SAGE Publications
Date: 12-2010
Abstract: This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.99% (—0.34%) for purchases (sales). This is considerably larger than costs reported in prior literature. Both purchases and sales exhibit price continuations after the trade package, consistent with an information effect. Although we do not observe the directional asymmetry typically shown in the literature, the magnitude of the total and permanent effects for purchases is larger than for sales. We also show that price impact is related to fund inflows and outflows.
Publisher: SAGE Publications
Date: 06-2005
DOI: 10.1177/031289620503000103
Abstract: This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We document that passive funds benefit from employing less rigid rebalancing and investment strategies. During index revision periods, enhanced index funds commence portfolio rebalancing earlier than index funds, and employ more patient trading strategies. This activity translates into higher returns and lower trading costs for enhanced index funds. In cases where passive funds do not perfectly mimic the benchmark, passive funds exhibit a greater propensity to overweight stocks with higher liquidity, larger market capitalization and higher past performance. For non-index portfolio holdings, enhanced funds exhibit a higher propensity to hold ‘winners’ and sell ‘losers’.
Publisher: SAGE Publications
Date: 06-2006
DOI: 10.1177/031289620603100108
Abstract: This study reviews 30 years of scholarly research published in the Australian Journal of Management (AJM) over the period 1976–2005. The study examines the productivity, influence, and contribution of management research in Australia. In the past three decades, AJM has published 406 research articles from 458 different authors and co-authors. Over the past 30 years, the four most prolific publishers were Philip Brown (11 papers), Philip Yetton (9), Ray Ball (8) and Terry Walter (8). In the last decade alone, Robert Faff and Raymond da Silva Rosa have published the greatest number of AJM articles (6). The Journal has been most supported over the past three decades by authors from AGSM, UNSW, UWA, UQ, Monash, Melbourne, ANU and Sydney. The top six institutions contributed more than half of all AJM publications. The AJM has also experienced increasing contributions from finance articles in recent years, accounting for 51% of total published articles in AJM. Opportunities and challenges remain ahead for the AJM, particularly when one considers the decision by The University of Chicago's Journal of Business to cease future publications beyond 2006, citing the establishment of specialist journals.
Publisher: Wiley
Date: 29-10-2011
Publisher: Wiley
Date: 27-09-2017
DOI: 10.1111/IRFI.12155
Publisher: Wiley
Date: 06-2006
Publisher: SAGE Publications
Date: 23-10-2014
Abstract: This study extends an examination of Quality investing in the US to the Australian market. Specifically, a Quality score is computed as the aggregate of eight fundamental accounting metrics. An investment strategy investing in the highest (lowest) quality stock quintile, that is, Quintile 5 (1) generates an average annual Daniel, Grinblatt, Titman and Wermers (DGTW)-adjusted alpha of 6.37% (−7.98%), which is significant at the 5% level over April 2000–March 2010. A two-way segmentation based on size first, and quality second, reveals that the strong positive quality effect is primarily driven by small stocks, as the average DGTW-alpha for the top-quality tercile of small stocks is 14.02%, significant at the 5% level. Statistically significant positive DGTW-alphas are also determined for quality micro and large stocks. The quality analysis is also applied to a s le of Active Equity Mutual Funds’ stock holdings. Weak evidence of the quality return premium is detected at the fund level.
Publisher: Wiley
Date: 11-05-2014
DOI: 10.1111/IRFI.12031
Publisher: Oxford University Press (OUP)
Date: 05-2012
Publisher: SAGE Publications
Date: 05-04-2012
Abstract: We provide one of the first comprehensive studies on out-of-s le stock returns predictability in Australia. While most of the empirically well-known predictive variables fail to generate out-of-s le predictability, we document a significant out-of-s le prediction in forecasting ahead one-year and, to a lesser extent, one-quarter future excess returns, using a combination forecast of variables. We also find improved asset allocation using the combination forecast of these predictors. The combining methods are useful in predicting sector premia. Specifically, a sector rotation strategy relying on the combining methods outperforms the market by 3.27% per annum on a risk-adjusted basis.
Publisher: Wiley
Date: 18-01-2016
DOI: 10.1111/ACFI.12254
Publisher: Wiley
Date: 06-2002
Publisher: Wiley
Date: 30-03-2016
DOI: 10.1111/ACFI.12212
Publisher: Wiley
Date: 06-06-2017
DOI: 10.1111/ACFI.12214
Publisher: Wiley
Date: 27-06-2019
DOI: 10.1111/ACFI.12378
Publisher: Wiley
Date: 14-03-2014
DOI: 10.1111/ACFI.12017
Publisher: Springer Science and Business Media LLC
Date: 05-2006
Publisher: Informa UK Limited
Date: 02-04-2021
Publisher: Wiley
Date: 25-08-2010
Publisher: Wiley
Date: 07-2001
Abstract: This paper evaluates the market timing and security selection capabilities of Australian pooled superannuation funds over the eight‐year period from January 1991 to December 1998. Evaluation of both components of investment performance is surprisingly scarce in the Australian literature despite active investment managers engaging in both market timing and security selection. The paper also evaluates performance for the three largest asset classes within ersified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated. This paper employs performance benchmarks that account for the multi‐sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. Consistent with U.S. literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill.
Publisher: SAGE Publications
Date: 05-08-1997
DOI: 10.1057/PALGRAVE.IVS.9500081
Abstract: We explore a multiple view, or overview and detail, method for visualising a high-dimensional portfolio holdings data set with attributes that change over time. The method employs techniques from multidimensional scaling and graph visualisation to find a two-dimensional mapping for high-dimensional data. In both the overview and detail views, time is mapped to the third dimension providing a two and a half-dimensional view of changes in the data. We demonstrate the utility of the paradigm with a prototype system for visualisation of movements within a large set of UK fund managers’ stock portfolios.
Publisher: SAGE Publications
Date: 27-01-2016
Abstract: Our contribution to funds management research is in matching qualitative information sourced from the fund manager with their own quantitative data concerning what assets they own, how they trade and how their portfolios are managed. We find that survey responses are informative of characteristic values relative to other funds, for ex le funds that declare higher maximum tracking errors tend to have higher tracking errors. Furthermore, self-declared number of stocks held and turnover are less indicative of future fund characteristics than actual past measures. Overall, our study suggests that the questionnaire responses do contain some information value when used by asset consultants to compare funds.
Publisher: Wiley
Date: 03-2006
Publisher: Edward Elgar Publishing
Date: 26-01-2007
Publisher: Wiley
Date: 27-04-2006
DOI: 10.1111/J.1468-5957.2006.00018.X
Abstract: Abstract: This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk‐adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year‐end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds.
Publisher: Elsevier BV
Date: 04-2009
Publisher: Elsevier BV
Date: 2009
Publisher: Wiley
Date: 08-02-2017
DOI: 10.1111/ACFI.12262
Publisher: Wiley
Date: 09-2005
DOI: 10.1111/J.1468-2443.2006.00054.X
Abstract: This study examines the relationship between investment performance and concentration in active equity portfolios. Active management is dependent on the success of two important components in the investment process – stock selection skill and portfolio management. Our study documents a positive relationship between fund performance and portfolio concentration. The relationship is stronger for stocks in which active managers hold overweight positions, as well as for stocks outside the largest 50 stocks listed on the Australian Stock Exchange (ASX). We find that more concentrated funds tend to be those implementing growth styles, having smaller aggregate assets under management, being institutions that are not affiliated with a bank or life‐office entity, whose funds experience past period outflows, and who are benchmarked to narrower indexes than the S& P/ASX 300.
Publisher: Wiley
Date: 07-12-2007
Publisher: Wiley
Date: 08-2008
Publisher: SAGE Publications
Date: 12-10-2013
Abstract: The study examines the pervasiveness of eight well-documented anomalies in global equity markets for the Australian stock market. After partitioning stocks into three size categories (micro, small and big), we find that none of the eight anomalies are pervasive across size groups in either sorts or cross-sectional regressions. The existence of size, value, profitability, asset growth and accruals anomalies is primarily attributable to micro-cap stocks. Momentum and asset growth predict the expected returns of big stocks, but momentum does not predict the returns on micro stocks, and asset growth does not matter for small stocks. Contrarian returns are largely explained by stock size and value dimensions. Evidence for the earnings growth anomaly contradicts the growth extrapolation hypothesis. By looking at the hedge portfolio returns of anomalies in different regimes, we also show that many anomalies tend to exist in bear markets rather than bull markets. This evidence contradicts the risk-based explanations for the existence of anomalies.
Publisher: Wiley
Date: 02-2005
Publisher: Cambridge University Press (CUP)
Date: 04-2013
DOI: 10.1017/S0022109013000203
Abstract: Using unique daily fund-manager trade data, we examine the role of institutional trading in influencing firm performance. We show that short-horizon informed trading by multiple institutional investors effectively disciplines corporate management. Our focus is on short-term “swing” trades, sequences with three phases (e.g., buy-sell-buy). We find swing trades increase stock price informativeness, are profitable after costs, and improve market efficiency. This increase in stock price informativeness is associated with subsequent firm outperformance. Trades are most beneficial with optimal stock holdings that reflect the information acquisition incentives of investors as well as liquidity costs.
Publisher: Elsevier BV
Date: 11-2006
Publisher: Springer Science and Business Media LLC
Date: 03-2002
Publisher: SAGE Publications
Date: 12-2006
DOI: 10.1177/031289620603100205
Abstract: We examine the performance and portfolio characteristics of actively managed equity funds impacted by top management turnover. Utilizing a unique database of monthly portfolio holdings, our study finds that, post-replacement, previously poor performing funds experience improved returns. However, this improved performance is not attributable to superior stock selection skill. We also find these new managers decrease the fund's reliance on momentum strategies and decrease the portfolio's concentration, which then leads to a reduced tracking-error volatility. Prior to the replacement event, underperforming investment managers exhibit preferences for larger, growth-oriented stocks, as well as riding momentum strategies and increasing portfolio turnover.
Publisher: SAGE Publications
Date: 12-2004
DOI: 10.1177/031289620402900206
Abstract: 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 strategy, the sizeable assets under their control, as well as the overall success and profitability of the funds management operation. In addition, investors, asset consultants, managed-fund ratings agencies and the financial media devote significant resources to the scrutiny of performance, the organisational activities, leadership and human capital of investment management firms. Accordingly, this study examines the impact of performance and fund-flow activity on top management turnover in both the pre-and-post replacement period. The research documents that turnover of underperforming investment managers results in significantly higher performance in the post-replacement period, while turnover coinciding with outperforming managers delivers investors significantly lower returns. The evidence also identifies significant changes in portfolio risk associated with managerial turnover. Finally, this research documents that underperforming investment managers exhibit significantly lower fund flows prior to replacement.
Publisher: Wiley
Date: 03-2005
DOI: 10.1111/J.1468-2443.2006.00049.X
Abstract: This study provides an empirical examination of derivative instruments used by institutional investors. Our analysis provides a unique insight into the role and benefits of derivative securities in active equity portfolio management. We contribute to the literature by using a database that comprises the periodic portfolio holdings and daily trades of institutional fund managers. The consequence of derivative use is analyzed using a number of performance and risk measures. Overall, we find the use of derivatives have a negligible impact on fund returns, and is primarily attributed to low levels of derivative exposure relative to total fund size. We also evaluate how derivatives are used by considering the trading strategies executed by active investment managers. Specifically, option trading patterns are consistent with the execution of momentum trading strategies. This study also documents that active investment managers prefer not to use options markets to engage in informed trading.
Publisher: Wiley
Date: 04-03-2015
DOI: 10.1111/ACFI.12074
Publisher: SAGE Publications
Date: 12-10-2013
Abstract: An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one manager may buy a stock for her fund while another manager sells the same stock at approximately the same time for his fund). While lowering transaction costs is a key benefit of an emulation strategy, there has been little research that compares the reduction in transaction costs with the opportunity costs of delaying trade. Using reported equity trades for a large Australian pension fund, we simulate the consequences of an emulation strategy. We find that simulated emulation trades underperform those trades made by the employed (or target) fund over our s le period. That is, the opportunity cost of delayed trading significantly outweighs transaction cost reductions. Overall, we do not find strong evidence to support emulation from a cost–benefit perspective before management fees and taxes.
Publisher: SAGE Publications
Date: 12-2005
DOI: 10.1177/031289620503000205
Abstract: This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour of Australian investment managers who invest assets across multiple asset classes. Specifically, we analyse the behaviour of balanced, growth and capital-stable fund managers with regard to their asset allocation activity across defensive (cash, domestic bonds, overseas bonds) and growth (domestic equities, international equities, property) asset classes, over the period December 1989 to February 2001. Overall, our evidence suggests that active managers have been unable to deliver investors with superior returns through tactical asset allocation. While the most successful asset class, domestic equities, has been value-enhancing, international shares and domestic fixed interest have generally detracted value. Finally, across all asset classes examined, our findings suggest that asset allocation into domestic equities is the most influenced by public economic information variables, with short-term interest rates, the term structure and idend yield all having a significant explanatory role.
Publisher: Wiley
Date: 07-2016
DOI: 10.1111/IRFI.12092
Publisher: Cambridge University Press (CUP)
Date: 04-2014
DOI: 10.1017/S0022109014000349
Abstract: We study the informativeness of trades via discount and full-service retail brokers. We find that trades via full-service retail brokers are statistically and economically more informative than are trades via discount retail brokers. This finding holds in every year over the 12-year s le period and in various subs les. We also find that past returns, volatility, and news announcements positively relate to the net volume of discount retail brokers, but these variables are unrelated to the net volume of full-service retail brokers. Our results suggest that broker type selection bias is an important consideration in studying in idual investors’ trades.
Publisher: Wiley
Date: 16-08-2011
DOI: 10.1111/J.1468-5957.2010.02214.X
Abstract: Abstract: Shareholdings for a s le of institutional equity funds, operating under the Australian imputation tax system, show that idend policy and fund holdings are related. Relative to market benchmarks and ownership levels across firms, institutional funds are overweight in stocks that pay idends. Among idend‐paying stocks there is no simple preference for high idend yields, probably because the highest idend yields are not sustainable. Instead we find an inverted U relationship between institutional ownership and idend yield. The tax hypothesis dominates the prudent‐man hypothesis in explaining ownership by institutional clienteles. Institutional funds have a higher ownership in stocks which carry full imputation tax credits compared to stocks which have partial, or zero, imputation tax credits.
Publisher: Wiley
Date: 30-07-2021
DOI: 10.1111/ACFI.12831
Abstract: We present a method for evaluating performance of global equity funds that decomposes excess returns versus market indices into contributions from six equity and three currency factors plus alpha. We apply the method to a s le of institutional fund mandates, and uncover outperformance stemming from stock selection while finding that both equity and currency factor exposures detract from returns. Our methodological contribution is to propose a portfolio holding‐based approach for identifying return sources for funds investing internationally that can account for multiple factor exposures including those arising from currency.
Publisher: SAGE Publications
Date: 27-04-2016
Abstract: This study provides the first long-run analysis of the skill of active Australian equity fund managers based on trades inferred from a market-wide database of monthly portfolio holdings over the period 1994–2009. In addition to confirming previous findings that skill exists amongst active Australian managers using a more comprehensive s le, we also deepen the understanding of this skill in two ways. First, we sharpen the identification of skill by categorizing trades. We find that alpha is concentrated in trades that are more likely to involve informed trading rather than portfolio rebalancing. Second, we investigate skill across manager types. Alpha for growth-oriented managers is found to stem from selection skill, while that for value managers appears more related to characteristic exposure. We also find stronger evidence of skill amongst boutique firms relative to more institutionalized managers.
Start Date: 2006
End Date: 2008
Funder: Australian Research Council
View Funded ActivityStart Date: 2005
End Date: 2007
Funder: Australian Research Council
View Funded ActivityStart Date: 2003
End Date: 2005
Funder: Australian Research Council
View Funded ActivityStart Date: 03-2003
End Date: 12-2006
Amount: $193,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 07-2005
End Date: 12-2010
Amount: $218,486.00
Funder: Australian Research Council
View Funded ActivityStart Date: 2006
End Date: 06-2010
Amount: $230,000.00
Funder: Australian Research Council
View Funded Activity