Fund Size, Transaction Costs and Performance: Size Matters!

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Show simple item record Chan, Howard en_US Faff, Robert en_US Gallagher, David en_US Looi, Adrian en_US
dc.contributor.editor en_US 2010-05-28T09:53:57Z 2010-05-28T09:53:57Z 2009 en_US
dc.identifier 2008005674 en_US
dc.identifier.citation Chan Howard et al. 2009, 'Fund size, fund flow, transaction costs and performance: Size matters', Australian Graduate School of Management, vol. 34, no. 1, pp. 73-96. en_US
dc.identifier.issn 1327-2020 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.description.abstract Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory indirectly. Our study, however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than those incurred by small managers. Furthermore, we show large managers exhibit preferences for trade package formation and portfolio characteristics consistent with transaction cost intimidation. We analyse the interaction between transaction cost intimidation and the fund size effect, and document that large managers pursuing a highly active trading strategy suffer more from fund size, than large funds following a more passive strategy. This suggests the fund size effect is related to transaction costs, as trading activity is a good proxy for expected market impact. Finally, based on a simulation experiment, we find that transaction cost intimidation is at least as important as the increase in market impact costs due to fund size. en_US
dc.language en_US
dc.publisher Australian Graduate School of Management en_US
dc.title Fund Size, Transaction Costs and Performance: Size Matters! en_US
dc.parent Australian Journal of Management en_US
dc.journal.volume 34 en_US
dc.journal.number 1 en_US
dc.publocation Sydney, Australia en_US
dc.identifier.startpage 73 en_US
dc.identifier.endpage 96 en_US BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 0000050210 en_US
dc.personcode 0000018504 en_US
dc.personcode 107326 en_US
dc.personcode 0000050211 en_US
dc.percentage 100 en_US Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity en_US

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