Abstract:Recent studies of fund manager performance find evidence of outperformance. However limited research exists as to whether such outperformance is because of privately collected information, or merely expedient interpretation of publicly released information. In this study, we examine the trade sequences of active Australian equity fund managers around earnings announcements to provide insights into the source of fund managers' superior information. We document an increased occurrence of buy-sell trade sequences… Show more
“…In the general business literature, Gallagher, Looi, and Pinnuck (2010) examined trade sequences of Australian fund managers to determine the source of fund managers' superior information and whether fund managers were collectors of private information or fast interpreters of public information. Their work defined "interpreters" as investors who had no private information but who processed publicly available news, finding evidence of trading patterns consistent with private information and short-term profiteering with regard to good-news but not bad-news earnings announcements.…”
This study investigated whether or not there were abnormal stock market returns on the announcement date of weekly revenue per available room (RevPAR) data by the lodging industry research firm Smith Travel Research (STR). Using event study methodology, the study found that there were not statistically significant abnormal returns on the weekly RevPAR announcement date for the period from 2004 to 2009. The implications of this study are important to the hotel investment community, including lodging stock owners and investors, stock analysts, investment bankers, and consultants because it indicates that there is not advance trading in lodging stocks based on the STR weekly RevPAR announcements.
“…In the general business literature, Gallagher, Looi, and Pinnuck (2010) examined trade sequences of Australian fund managers to determine the source of fund managers' superior information and whether fund managers were collectors of private information or fast interpreters of public information. Their work defined "interpreters" as investors who had no private information but who processed publicly available news, finding evidence of trading patterns consistent with private information and short-term profiteering with regard to good-news but not bad-news earnings announcements.…”
This study investigated whether or not there were abnormal stock market returns on the announcement date of weekly revenue per available room (RevPAR) data by the lodging industry research firm Smith Travel Research (STR). Using event study methodology, the study found that there were not statistically significant abnormal returns on the weekly RevPAR announcement date for the period from 2004 to 2009. The implications of this study are important to the hotel investment community, including lodging stock owners and investors, stock analysts, investment bankers, and consultants because it indicates that there is not advance trading in lodging stocks based on the STR weekly RevPAR announcements.
“…Most studies examine the performance of institutions at the individual fund level and only cover certain groups of institutions. Some studies utilise a unique database that contains trade data of equity funds and document superior performance of active equity funds (Pinnuck, 2003;Frino et al, 2006;Gallagher and Pinnuck, 2006;Gallagher et al, 2010;Foster et al, 2011). Other studies investigate mutual funds or superannuation funds separately (Bird et al, 1983;Sinclair, 1990;Sawicki and Ong, 2000;Gallagher, 2001;Holmes and Faff, 2004;Bilson et al, 2005).…”
This study examines the role played by institutional investors in Australia. With a unique database that provides comprehensive coverage of institutional ownership, this study is the first to examine the overall performance of all institutions in the Australian equity market. Institutional investors do not outperform the market. Examining their trading activities in greater detail, we find that institutional investors do not exploit well-known stock market anomalies, with the exception of momentum. Institutional investors are also found to sell loser stocks heavily at the end of the financial year, thus contributing to a strong quarter-end momentum effect.
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