Investment manager skill in small-cap equities

Chen, C; Comerton-Forde, C; Gallagher, DR; Walter, TS

Investment manager skill in small-cap equities

Chen, C Comerton-Forde, C Gallagher, DR Walter, TS

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Publication Type:: Journal Article
Citation:: Australian Journal of Management, 2010, 35 (1), pp. 23 - 49
Issue Date:: 2010-04-01

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Field	Value	Language
dc.contributor.author	Chen, C	en_US
dc.contributor.author	Comerton-Forde, C	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.contributor.author	Walter, TS	en_US
dc.date.issued	2010-04-01	en_US
dc.identifier.citation	Australian Journal of Management, 2010, 35 (1), pp. 23 - 49	en_US
dc.identifier.issn	0312-8962	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14052
dc.description.abstract	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 by fund managers in our sample. 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. © The Author(s) 2010.	en_US
dc.relation.ispartof	Australian Journal of Management	en_US
dc.relation.isbasedon	10.1177/0312896209354216	en_US
dc.title	Investment manager skill in small-cap equities	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	35	en_US
utslib.for	150205 Investment and Risk Management	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	35	en_US

Abstract:

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 by fund managers in our sample. 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. © The Author(s) 2010.

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http://hdl.handle.net/10453/14052