Return dispersion and fund performance: Australia – The land of opportunity?

Cao, Ying; Reibnitz, Anna von; Warren, Geoffrey J.

doi:10.1016/j.pacfin.2020.101269

Cited by 2 publications

(2 citation statements)

References 37 publications

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“…There is a negative correlation between the dispersion of returns and the performance of ESG leader's indices, which means that a 1-unit change in ESG leaders' returns leads to a −0.13-unit change in the dispersion of returns (see Figure 4 and Table 11). We contradict the conclusions of Caoa et al (2019), who found a positive relation between fund performance and return dispersion. Once more, we employed the cross-sectional absolute deviation of returns to attest to the dispersion of returns bias and capture any herding effects (Chang et al 2000).…”

Section: Modelcontrasting

confidence: 99%

“…Verousis and Voukelatos (2018) suggested that the cross-sectional dispersion (CSD) of stock returns is negatively associated with the investment, meaning that assets with high dispersion offer lower returns. Caoa et al (2019) analyzed the relationship between the cross-sectional dispersion (CSD) of returns and active fund performance in Australia, and concluded that outperformance occurs only for funds with high return dispersion. Last year, Qontigo presented a new index (EURO STOXX 50 realized dispersion index) to replicate a dispersion indicator on selected Eurozone blue chips "https://qontigo.com/index/sx5edisp/ (accessed on 7 July 2023)".…”

Section: Esg Volatility and Dispersion Of Returnsmentioning

confidence: 99%

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Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Gavrilakis,

Floros

2024

JRFM

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We here analyze the factor loadings given by the CAPM, the Fama–French three (FF3), and the five-factor model (FF5), and test the performance and the validity of adding two more factors (volatility and dispersion of returns) to the FF5 factor model of European index-based ESG leaders’ portfolios. Our ESG leaders’ portfolios generated significant negative alphas during 2012–2022, corroborating the literature’s negative argument. The negative abnormal returns of ESG leaders’ portfolios are homogeneous across the three ESG pillars. We conclude that European ESG leaders’ portfolios are biased toward large cap and value stocks with robust operating profitability and against aggressive investments. As robustness tests, we examine Global ESG leaders’ index-based portfolios, producing the same results but with reduced importance in some loading factors like profitability and investment strategy. Furthermore, we deduced that European and Global ESG leaders’ portfolios tilt towards volatility and herding bias.

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Section: Modelcontrasting

confidence: 99%

Section: Esg Volatility and Dispersion Of Returnsmentioning

confidence: 99%

Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Gavrilakis,

Floros

2024

JRFM

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Scale diseconomies and capacity in fund management: variation across equity markets

O’Neill,

Sun,

Warren

et al. 2024

JAL

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PurposeWe model the relation between excess returns, fund size and industry size for active equity funds.Design/methodology/approachWe study and contrast four markets – global equities, emerging markets, Australia core and Australia small caps – and use the results to investigate the extent to which funds deviate from estimated capacity.FindingsWe uncover a significantly negative relation between returns and both fund size and industry size across all markets. The estimated percentage of funds operating above versus below capacity varies both across markets and over time, as does the role played by fund size versus industry size. We find a greater prevalence of funds operating significantly below than above capacity, in contrast to findings for US equity mutual funds. Significant deviations from estimated capacity persist for a median of between two and six quarters.Originality/valueOur main contribution is to show that the dynamics governing deviations from capacity for active equity funds vary across markets.

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Return dispersion and fund performance: Australia – The land of opportunity?

Cited by 2 publications

References 37 publications

Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Volatility and Herding Bias on ESG Leaders’ Portfolios Performance

Scale diseconomies and capacity in fund management: variation across equity markets

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