We examine the relation between cross-sectional stock return dispersion and active fund performance in Australia, drawing on the concept that higher return dispersion provides greater opportunity for skilled managers to generate value. In contrast with findings using US data that outperformance...

In this paper we investigate the profitability of the 52-week high momentum strategy in the Australian equity market over the period 1996-2008. We provide the first examination of the economic significance of the strategy by applying short-sale restrictions and utilizing bid-and-ask prices and...