经纪人推荐和澳大利亚小盘股基金管理

Carole Comerton-Forde, D. Gallagher, J. Lai, T. Walter
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引用次数: 7

摘要

本研究考察了活跃的澳大利亚小盘股基金经理的异常表现是否与经纪人推荐有关。我们的证据支持经纪人推荐的投资价值,在经纪人推荐之前和之后都显示出显著的异常回报(ARs)。我们发现,在Carhart(1997)模型中加入基于经纪人推荐的因子模拟投资组合后,年度alpha值降低了48个基点。根据交易层面的数据,根据经纪商建议买入的交易,在60天后的累计年化收益率高达1.56%。总的来说,我们发现经纪人推荐在经济上是alpha的重要组成部分。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Broker Recommendations and Australian Small‐Cap Equity Fund Management
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.
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