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Are active fund managers collectors of private information or fast interpreters of public information?

Journal Article


Abstract


  • Recent studies of fund manager performance find evidence of outperformance. However limited research exists as to whether such outperformance is because of privately collected information, or merely expedient interpretation of publicly released information. In this study, we examine the trade sequences of active Australian equity fund managers around earnings announcements to provide insights into the source of fund managers' superior information. We document an increased occurrence of buy-sell trade sequences around good-news earnings announcements. The evidence is consistent with fund managers having both private information about forthcoming good-news earnings announcements and being 'short-term profiteers'. We find no evidence that fund managers have private information about forthcoming bad-news earnings announcements. However, we do find an increase in the frequency of fund managers not trading before bad-news earnings announcements only to subsequently sell during announcements. © 2010 The Authors. Accounting and Finance © 2010 AFAANZ.

Authors


  •   Gallagher, David R. (external author)
  •   Looi, Adrian (external author)
  •   Pinnuck, Matt (external author)

Publication Date


  • 2010

Citation


  • Gallagher, D. R., Looi, A. & Pinnuck, M. (2010). Are active fund managers collectors of private information or fast interpreters of public information?. Accounting and Finance, 50 (3), 635-662.

Scopus Eid


  • 2-s2.0-77955752897

Ro Metadata Url


  • http://ro.uow.edu.au/buspapers/1352

Number Of Pages


  • 27

Start Page


  • 635

End Page


  • 662

Volume


  • 50

Issue


  • 3

Place Of Publication


  • Australia

Abstract


  • Recent studies of fund manager performance find evidence of outperformance. However limited research exists as to whether such outperformance is because of privately collected information, or merely expedient interpretation of publicly released information. In this study, we examine the trade sequences of active Australian equity fund managers around earnings announcements to provide insights into the source of fund managers' superior information. We document an increased occurrence of buy-sell trade sequences around good-news earnings announcements. The evidence is consistent with fund managers having both private information about forthcoming good-news earnings announcements and being 'short-term profiteers'. We find no evidence that fund managers have private information about forthcoming bad-news earnings announcements. However, we do find an increase in the frequency of fund managers not trading before bad-news earnings announcements only to subsequently sell during announcements. © 2010 The Authors. Accounting and Finance © 2010 AFAANZ.

Authors


  •   Gallagher, David R. (external author)
  •   Looi, Adrian (external author)
  •   Pinnuck, Matt (external author)

Publication Date


  • 2010

Citation


  • Gallagher, D. R., Looi, A. & Pinnuck, M. (2010). Are active fund managers collectors of private information or fast interpreters of public information?. Accounting and Finance, 50 (3), 635-662.

Scopus Eid


  • 2-s2.0-77955752897

Ro Metadata Url


  • http://ro.uow.edu.au/buspapers/1352

Number Of Pages


  • 27

Start Page


  • 635

End Page


  • 662

Volume


  • 50

Issue


  • 3

Place Of Publication


  • Australia