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...

We examine the relative forecast accuracy of expected returns for individual stocks sourced from analyst target prices, earnings per share estimates, management forecasts, earnings yields, stock yields, historical averages and the random walk model. In doing so, we avoid the use of predictive...

Active opportunity in the market, measured by cross-sectional dispersion in stock returns, significantly influences fund performance. Active strategies have the greatest impact on returns during periods of high dispersion, when alpha produced by the most active funds significantly exceeds that...