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Australian equity mutual fund size effects

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  • Richard Heaney

Abstract

Berk and Green propose a model of a superannuation fund industry, with a limited population of superior fund managers and a competitive investor market. In this market, superior fund managers capture the value they generate, leaving investors with a normal return on their investment. Furthermore, it is argued that previous period returns, age of the fund and management costs explain variation in net cash flow paid into a fund over time. The Berk and Green predictions find some support in empirical tests, reported in the present paper, based on Australian Morningstar retail and wholesale equity fund data over the period 1995–2005.

Suggested Citation

  • Richard Heaney, 2008. "Australian equity mutual fund size effects," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 807-827, December.
    • Handle: RePEc:bla:acctfi:v:48:y:2008:i:5:p:807-827
    DOI: 10.1111/j.1467-629X.2008.00267.x
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    References listed on IDEAS

    as
    1. Joseph Chen & Harrison Hong & Ming Huang & Jeffrey D. Kubik, 2004. "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization," American Economic Review, American Economic Association, vol. 94(5), pages 1276-1302, December.
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    7. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-157, April.
    8. Julia Sawicki & Frank Finn, 2002. "Smart Money and Small Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(5‐6), pages 825-846.
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    Cited by:

    1. Isoé N. Schneider & Daniel Knebel Baggio & João S. Tusi da Silveira & Maria M. Baccin Brizolla, 2020. "Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995)," Economics Bulletin, AccessEcon, vol. 40(1), pages 50-60.
    2. David R Gallagher & Peter A Gardner & Camille H Schmidt & Terry S Walter, 2014. "Quality investing in an Australian context," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 615-643, November.

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