Broker recommendations and Australian small‐cap equity fund management

$48.00 plus tax (Refund Policy)

Download / Buy Article:

Abstract:

Abstract

This study examines whether the abnormal performance of active Australian small‐cap equity fund managers is associated with broker recommendations. Our evidence supports the investment value of broker recommendations, showing significant abnormal returns (ARs) both pre‐ and post‐broker recommendations. We find that when a factor‐mimicking portfolio based on broker recommendations is added to a Carhart (1997) model, annual alphas are reduced by 48 basis points. Using transaction‐level data, buy trades following broker recommendations earn significant cumulative ARs of 1.56 per cent after 60 days. Overall, we find that broker recommendations account for an economically significant component of alphas.

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/j.1467-629X.2010.00374.x

Affiliations: 1: Discipline of Finance, The University of Sydney, Sydney, NSW, Australia 2: School of Finance and Economics, University of Technology, Sydney, NSW, Australia 3: Morgan Stanley, Hong Kong, China

Publication date: December 1, 2011

Related content

Tools

Favourites

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more