Portfolio Quality and Mutual Fund Performance

Gallagher, David R.; Gardner, Peter; Schmidt, Camille; Walter, Terry S.

doi:10.1111/irfi.12031

Cited by 26 publications

(12 citation statements)

References 80 publications

(178 reference statements)

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“…9 The choice of quintile portfolios is made in light of the breadth of the cross section, after taking the intersection across four databases of stocks having the requisite data. The deployment of quintile portfolios is common (see, for example,Galariotis 2010;Brailsford et al 2012b;Gallagher et al 2014b;Gharghori et al 2011;Gallagher et al 2014a;Huynh and Smith 2017).…”

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confidence: 99%

Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model

Huynh

2017

Int Rev Finance

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This paper compares the ability of three‐factor and five‐factor asset pricing models to explain the apparent profitability of a broad selection of anomalies in Australian equity returns. Rather than examining the fit of each model to common test portfolios, our focus is on the spread return to long–short trading strategies designed around so‐called anomalies. After documenting significant spread returns to 16 anomalies (including several not previously studied in Australia), the empirical analysis provides cautious support that the recently‐proposed investment and profitability factors have a role to play. The number of anomalies that remains after risk adjustment decreases under the five‐factor model. Further, while the magnitude of reduction in alpha is modest, our testing shows that it is statistically significant in many cases. However, both three‐factor and five‐factor models repeatedly fail the Gibbons, Ross, and Shanken's (1989) (GRS) test, suggesting that the quest for a better asset pricing model is not yet complete.

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confidence: 99%

Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model

Huynh

2017

Int Rev Finance

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“…k Gallagher et al (2012); Taylor (2010, personal communication, 10 March); Mercer Investments (2012); Chen and Zhang (2007); Bird and Casavecchia (2007); Zhang (2000). l Gallagher et al (2012); Taylor (2010, personal communication, 10 March); Chen and Zhang, (2007); Bird and Casavecchia (2007); Mohanram (2005); Fairfield and Whisenant (2000); Piotroski (2000). m Gallagher et al (2012); Bird and Casavecchia (2007); Mohanram (2005); Piotroski (2000), Dechow and Dichev (2002).…”

Section: Sfsmentioning

confidence: 99%

“…l Gallagher et al (2012); Taylor (2010, personal communication, 10 March); Chen and Zhang, (2007); Bird and Casavecchia (2007); Mohanram (2005); Fairfield and Whisenant (2000); Piotroski (2000). m Gallagher et al (2012); Bird and Casavecchia (2007); Mohanram (2005); Piotroski (2000), Dechow and Dichev (2002). n Gallagher et al (2012); George and ; Mercer Investments (2012); Lui et al (2007); Bird and Casavecchia (2007).…”

Section: Sfsmentioning

confidence: 99%

Style factor timing: An application to the portfolio holdings of US fund managers

Gallagher

Gardner²,

Schmidt

2014

Australian Journal of Management

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This study develops a style rotation model based on quarterly forecasts of style factor (SF) returns, across four style categories, generated using market and macroeconomic data. The prescriptions from this model are tested on a sample of US active equity mutual funds’ portfolio holdings. An annual buy-and-hold style timing strategy investing in the factor with the highest forecast return each quarter achieves an average annual excess return of 7.26%, significant at the 1% level during 1981–2011. However, a fund-of-fund (FoF) timing strategy investing in the funds with the greatest exposure (i.e. the preferred funds) to the style predicted to outperform over the following year does not generate statistically significant Daniel, Grinblatt, Titman and Wermers (DGTW)-adjusted performance. The lack of performance is primarily because the long-only funds are by nature unable to fully exploit the long-short SF returns. This highlights the issue of using long-short portfolio returns, particularly when evaluating fund performance.

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“…On the intersection of the Accounting and Finance domains, Gallagher, Gardner, Schmidt and Walter extend their previous work (Gallagher et al, 2014) on United States data to the Australian market to investigate whether there is a premium to 'quality' investing. They base their quality score on an aggregate of eight fundamental accounting metrics and find that high-(low-) quality investments earn an average annual 'Daniel et al (1997)' alpha of 6.37% (-7.98%), significant at the five percent level, over April 2000-March 2010.…”

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confidence: 97%

Editorial: November 2014

2014

Australian Journal of Management

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The Australian Journal of Management continues to gain traction in terms of its impact, and I am very pleased to be able to report that our 2-year impact factor for 2013 has increased to 0.795, from 0.629 the previous year. I would like to take this opportunity to thank the Editorial team and the Board for their efforts and continuing support of the Journal. In further good news, we have appointed two highly capable Deputy Editors: Professors Karen Benson (University of Queensland) and Mandy Cheng (University of New South Wales). Karen's move to Deputy and the previously announced resignation of long-serving Garry Twite has opened up two positions for Associate Editor in Finance. Professors Millicent Chang (University of Western Australia) and Robert Faff (University of Queensland) have generously agreed to take on these roles. Finally, I am very pleased to welcome on board Professor John Lyon (Melbourne Business School) as Associate Editor in Accounting.In this Issue, we bring you a suite of papers in accounting, corporate governance, economics, finance and organisational behaviour. The lead paper by Amir, Kallunki and Nilsson is one of an emerging set of papers in accounting/corporate governance that approximate the propensity of senior management to take risks, based on whether these individuals have prior criminal records (in Sweden). The paper reports that a non-trivial proportion of company directors and senior management have criminal records, often for drink driving offences, which corporations may not associate with higher risk of fraud or inappropriate managerial actions. The main finding is that companies led by directors and CEOs with prior convictions or who have previously been suspected of crimes, take more risk as measured by more volatile earnings, more unsuccessful acquisitions and less-conservative reporting. While the authors admit the possibility that perhaps certain types of companies tend to employ more risk-seeking managers, the paper does raise issues relevant to corporate governance.Chapple, Clout and Tan follow on the corporate governance theme to consider the governance attributes of firms that have been subject to securities class actions (SCA). They document that the frequency of queries from the Australian Securities Exchange (ASX queries) is positively related to the occurrence of SCAs, and that SCA firms tend to have weaker corporate governance. SCA firms are more likely to have a nomination committee to select Board members (which is an indicator of higher agency costs), duality in CEO/Chairman of Board roles (which is expected to reduce the effectiveness of a nomination committee), and inside ownership (which is expected to be associated with a propensity to engage in concealment of bad news).An issue that has been on the minds of researchers, business, as well as policy makers in East Asia is whether a new anchor currency is likely to emerge for that region any time soon. Rajaguru, Khalid and Barbera investigate the dynamic linkages between a set of East Asian currencies (the I...

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Portfolio Quality and Mutual Fund Performance

Cited by 26 publications

References 80 publications

Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model

Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model

Style factor timing: An application to the portfolio holdings of US fund managers

Editorial: November 2014

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