Show simple item record

dc.contributor.authorChan, HWH
dc.contributor.authorFaff, RW
dc.contributor.authorGallagher, DR
dc.contributor.authorLooi, A
dc.date.available2014-05-21T23:14:08Z
dc.date.issued2009-06-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000267773100005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=d4d813f4571fa7d6246bdc0dfeca3a1c
dc.identifier.citationChan, H. W. H., Faff, R. W., Gallagher, D. R. & Looi, A. (2009). Fund Size, Transaction Costs and Performance: Size Matters!. AUSTRALIAN JOURNAL OF MANAGEMENT, 34 (1), pp.73-96. https://doi.org/10.1177/031289620903400105.
dc.identifier.issn0312-8962
dc.identifier.urihttp://hdl.handle.net/11343/29518
dc.description.abstractRecent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory indirectly. Our study, however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than those incurred by small managers. Furthermore, we show large managers exhibit preferences for trade package formation and portfolio characteristics consistent with transaction cost intimidation. We analyse the interaction between transaction cost intimidation and the fund size effect, and document that large managers pursuing a highly active trading strategy suffer more from fund size, than large funds following a more passive strategy. This suggests the fund size effect is related to transaction costs, as trading activity is a good proxy for expected market impact. Finally, based on a simulation experiment, we find that transaction cost intimidation is at least as important as the increase in market impact costs due to fund size.
dc.languageEnglish
dc.publisherUNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT
dc.subjectBanking
dc.subjectFinance and Investment
dc.titleFund Size, Transaction Costs and Performance: Size Matters!
dc.typeJournal Article
dc.identifier.doi10.1177/031289620903400105
melbourne.peerreviewPeer Reviewed
melbourne.affiliationThe University of Melbourne
melbourne.affiliation.departmentFinance
melbourne.source.titleAustralian Journal of Management
melbourne.source.volume34
melbourne.source.issue1
melbourne.source.pages73-96
dc.description.pagestart73
melbourne.publicationid130070
melbourne.elementsid313064
melbourne.contributor.authorChan, Howard
dc.identifier.eissn1327-2020
melbourne.accessrightsThis item is currently not available from this repository


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record