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Volume 31 Number 2 December 2006 |
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Top Management Turnover: An Examination of Portfolio Holdings and Fund Performance |
| David R. Gallagher |
| Prashanthi Nadarajah |
| Matt Pinnuck |
Abstract |
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We examine the performance and portfolio characteristics of actively managed
equity funds impacted by top management turnover. Utilizing a unique database
of monthly portfolio holdings, our study finds that, post-replacement,
previously poor performing funds experience improved returns. However, this
improved performance is not attributable to superior stock selection skill.
We also find these new managers decrease the fund's reliance on momentum
strategies and decrease the portfolio's concentration, which then leads to a
reduced tracking-error volatility. Prior to the replacement event,
underperforming investment managers exhibit preferences for larger,
growth-oriented stocks, as well as riding momentum strategies and increasing
portfolio turnover.
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Keywords |
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TOP MANAGEMENT TURNOVER; PORTFOLIO
MANAGEMENT; INVESTMENT PERFORMANCE
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Contact DetailsDavid R. GallagherSchool of Banking and Finance, The University of New South Wales, Sydney, NSW 2052 E-mail: david.gallagher@unsw.edu.au Prashanthi Nadarajah School of Banking and Finance, The University of New South Wales, Sydney, NSW 2052 Matt Pinnuck Department of Accounting, The University of Melbourne, Melbourne, VIC 3010 |
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This page was last updated in October, 2006. Copyright © The Australian Graduate School of Management Phone: +61 2 9931 9200; Email: eajm@agsm.edu.au |