Stock preferences and derivative activities of Australian fund managers
AbstractThe present paper examines both the characteristics of stocks that fund managers prefer to hold and their use of derivatives. We find strong evidence that fund managers prefer large, liquid and low volatility stocks. Weak evidence exists that fund managers prefer to hold stocks that are past winners. In relation to derivatives, just over half of the sampled Australian fund managers hold derivatives in the form of exchange traded options. Of those that do trade in derivatives, it is found the level of exposure to stock price movements achieved by options is not significant relative to the total investment portfolio. Copyright 2004 Accounting and Finance Association of Australia and New Zealand.
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Bibliographic InfoArticle provided by Accounting and Finance Association of Australia and New Zealand in its journal Accounting and Finance.
Volume (Year): 44 (2004)
Issue (Month): 1 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0810-5391
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- Kingsley Fong & David R. Gallagher & Aaron Ng, 2005. "The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk-super-," International Review of Finance, International Review of Finance Ltd., vol. 5(1-2), pages 1-29.
- José M. Marín & Thomas A. Rangel, 2007.
"The use of derivatives in the spanish mutual fund industry,"
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- José M. Marín & Thomas A. Rangel, 2006. "The use of derivatives in the Spanish mutual fund industry," Economics Working Papers 990, Department of Economics and Business, Universitat Pompeu Fabra.
- Frino, Alex & Lepone, Andrew & Wong, Brad, 2009. "Derivative use, fund flows and investment manager performance," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 925-933, May.
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