Australian Journal of Management articles from March 2008

Australian Journal of Management archives from March 2008

Special issue on 'delegated portfolio management'.(Preface)
March 1, 2008... A number of countries, including Australia, have adopted a move to compulsory retirement saving as a policy response to the demographic challenge of an aging population. One key result of this response has been a huge increase in the amount of...

1 Style drift and portfolio management for active Australian equity funds.
March 1, 2008... Abstract: Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated...

2 The relevance of family characteristics to individual fund flows.
March 1, 2008... Abstract: This paper examines the relevance of fund specific and family variables in the determination of money flows to Australian investment funds. The existing literature establishes the relevance of past period returns to individual...

3 Portfolio construction and performance measurement when returns are non-normal.
March 1, 2008... Abstract: The foundation of popular approaches to portfolio construction and performance measurement lies in the mean-variance framework of Markowitz (1952, 1959). However, the suitability of such approaches in practice is questionable in...

4 Disentangling size from momentum in Australian stock returns.(Report)
March 1, 2008... Abstract: Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant...

5 The efficacy of the Sortino ratio and other benchmarked performance measures under skewed return distributions.
March 1, 2008... Abstract: This paper will investigate the suitability of existing performance measures under the assumption of a clearly defined benchmark. A range of measures are examined including the Sortino Ratio, the Sharpe Selection ratio (SSR), the...

6 The state of origin of Australian equity: does active fund manager location matter?
March 1, 2008... Abstract: We examine the relation of active equity fund managers' location proximity to a stock's headquarter and fund managers' stock selection skill and investment behaviour using a representative sample of Australian institutional...

7 Are Australian investors smart?
March 1, 2008... Abstract: This paper examines the smart money effect on Australian superannuation funds. Specifically, we investigate whether Australian investors make smart choices in selecting funds. We build on previous research which shows that...

8 An insight into overconfidence in the forecasting abilities of financial advisors.
March 1, 2008... Abstract: Financial market participants exercise judgment in decision making and psychological studies have shown that individuals are overconfident about their ability to evaluate financial securities. Range estimation calibration studies...