Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/186859
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- Title
- The Value of alpha forecasts in portfolio construction
- Related
- Australian journal of management, Vol. 34, No. 1, (2009), p.97-121
- DOI
- 10.1177/031289620903400106
- Publisher
- Sage
- Date
- 2009
- FoR/RFCD Code(s)
-
150100 Accounting, Auditing and Accountability
150300 Business and Management
150200 Banking, Finance and Investment
- Author/Creator
- Fong, Kingsley
- Author/Creator
- Gallagher, David R
- Author/Creator
- Lee, Adrian D
- Description
- This study examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active fund managers. When considering a large range of strategies incorporating fund portfolio holdings information, the top performing strategies are robust to data snooping and are both statistically significant and economically significant when incorporating transaction costs. These strategies are short term in nature, with statistically significant performance lasting up to nine months. When we account for look-ahead bias in the formation of a strategy, we find statistically significant alpha when following the best performing strategy holding 20 stocks or more in the previous month.
- Description
- 25 page(s)
- Subject Keyword
- 150100 Accounting, Auditing and Accountability
- Subject Keyword
- 150300 Business and Management
- Subject Keyword
- 150200 Banking, Finance and Investment
- Subject Keyword
- portfolio construction
- Subject Keyword
- fund mimicking strategies
- Resource Type
- journal article
- Organisation
- Macquarie University. Macquarie Graduate School of Management
- Identifier
- http://hdl.handle.net/1959.14/186859
- Identifier
- ISSN:0312-8962
- Identifier
- mq-rm-2010005725
- Language
- eng
- Reviewed
