Broker recommendations and Australian small-cap equity fund management | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/152935

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Title: Broker recommendations and Australian small-cap equity fund management
Related: Accounting and finance, Vol. 51, Issue 4, (2011), p.893-922
DOI: 10.1111/j.1467-629X.2010.00374.x
Publisher: Wiley-Blackwell Publishing
Date: 2011
Author/Creator: Comerton-Forde, Carole
Author/Creator: Gallagher, David R
Author/Creator: Lai, Joyce
Author/Creator: Walter, Terry
Description: 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.
Description: 30 page(s)
Subject Keyword: Active small-cap fund management
Subject Keyword: Broker recommendations
Subject Keyword: Alpha
Resource Type: journal article
Organisation: Macquarie University. Macquarie Graduate School of Management

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