TY  - BOOK
AU  - Chen,Cong
AU  - Comerton-Forde,Carole
AU  - Gallagher,David
AU  - Walter,Terry
TI  - Investment manager skill in small-cap equities
SN  - 03128962
AV  - HD31 AUS 
PY  - 2010///
CY  - Los Angeles
PB  - Sage
KW  - Portfolio management
KW  - Portfolio selection
KW  - Performance measurement
KW  - 1998-2004
KW  - Australia
N2  - Using a representative sample of monthly portfolio holdings and daily trades, this study presents unique evidence of significant stock selection skill amongst institutional small-cap equity managers on a risk-adjusted basis. Of particular importance is the magnitude of the performance generated by fund managers in our sample. Aggregate four-factor and five-factor alphas are 68 and 59.6 basis points per month before management expenses and tax, respectively. The evidence from holdings and transaction-based metrics of performance also reveals that small-cap equity managers possess superior stock selection ability, from both a statistical and economic perspective. Our results are robust to the deduction of transaction costs. Our research provides important non-U.S. evidence concerning the value of active management, in a market segment which exhibits both lower liquidity and lower analyst coverage
UR  - https://doi.org/10.1177/0312896209354216
ER  -