.
Frino, Alex's
Scholarly Papers
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column.
Aggregate Statistics
Total 6,754
Total Citations 56
1.
The Index Tracking Strategies of Passive and Enhanced Index Equity Funds
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Frino, Alex University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
Gallagher, David R. Centre for International Finance and Regulation
Posted:
16 Dec 03
Last Revised:
05 Apr 08
882(11,270)
4
Frino, Alex University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
Gallagher, David R. Centre for International Finance and Regulation
0
Passive funds, Enhanced index funds, Tracking Error, Index funds, Portfolio configuration, Index revisions, Trading strategies
Frino, Alex University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
Gallagher, David R. Centre for International Finance and Regulation
882
4
Passive funds, Enhanced index funds, Tracking Error, Index funds, Portfolio configuration, Index revisions, Trading strategies
2.
Frino, Alex University of Sydney - Discipline of Finance
Hill, Amelia M. University of Sydney - Discipline of Finance
779(13,701)
2
Electronic trading, screen trading, automation, futures markets, liquidity
3.
Frino, Alex University of Sydney - Discipline of Finance
Lepone, Andrew University of Sydney
Jarnecic, Elvis University of Sydney
521(24,183)
3
Block Trades, Market Microstructure
4.
Cummings, James Richard Macquarie University, Faculty of Business and Economics
Frino, Alex University of Sydney - Discipline of Finance
Posted:
25 Aug 08
Last Revised:
24 Nov 11
482(26,776)
1
Stock index futures, Arbitrage, Market efficiency
5.
Closing Call Auctions and Liquidity
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Aitken, Michael J. University of New South Wales (UNSW) - School of Banking and Finance
Frino, Alex University of Sydney - Discipline of Finance
Comerton-Forde, Carole University of Melbourne - Department of Finance
Posted:
09 Apr 03
Last Revised:
16 Apr 08
406(33,487)
7
Frino, Alex University of Sydney - Discipline of Finance
Aitken, Michael J. University of New South Wales (UNSW) - School of Banking and Finance
Comerton-Forde, Carole University of Melbourne - Department of Finance
32
7
Call auctions, Liquidity, Market microstructure
Aitken, Michael J. University of New South Wales (UNSW) - School of Banking and Finance
Frino, Alex University of Sydney - Discipline of Finance
Comerton-Forde, Carole University of Melbourne - Department of Finance
374
7
Closing call auctions, liquidity
6.
Frino, Alex University of Sydney - Discipline of Finance
McKenzie, Michael D. University of Sydney - Discipline of Finance
331(43,146)
screen-trading, stock index futures, London International Financial Futures Exchange (LIFFE), FTSE100
7.
Frino, Alex University of Sydney - Discipline of Finance
Jarnecic, Elvis University of Sydney
Das, Abhishek University of Sydney
Posted:
31 Jul 08
Last Revised:
26 Feb 09
277(52,919)
Long/Short Equity, 130/30, Active Extension, Hedge Funds, Momentum, Value-based, Australia
8.
Frino, Alex University of Sydney - Discipline of Finance
Mollica, Vito Rismark International
Walter, Terry S. University of Technology, Sydney - School of Finance and Economics
270(54,425)
Block trades, Bid-Ask Bias, Asymmetry, Execution Costs, Market Microstructure
9.
How Broker Ability Affects Institutional Trading Costs
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Comerton-Forde, Carole University of Melbourne - Department of Finance
Frino, Alex University of Sydney - Discipline of Finance
Fernandez, Christian University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
Posted:
13 Aug 03
Last Revised:
15 Mar 11
250(59,322)
3
Comerton-Forde, Carole University of Melbourne - Department of Finance
Frino, Alex University of Sydney - Discipline of Finance
Fernandez, Christian University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
26
3
Frino, Alex University of Sydney - Discipline of Finance
Comerton-Forde, Carole University of Melbourne - Department of Finance
Fernandez, Christian University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
224
3
transaction costs, institutional trading
10.
Frino, Alex University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
Gallagher, David R. Centre for International Finance and Regulation
243(61,086)
3
Price impact, transaction costs, index fund, active fund
11.
Frino, Alex University of Sydney - Discipline of Finance
Hill, Amelia M. University of Sydney - Discipline of Finance
206(72,701)
Intranight, screen trading
12.
Comerton-Forde, Carole University of Melbourne - Department of Finance
Frino, Alex University of Sydney - Discipline of Finance
Mollica, Vito Rismark International
200(74,860)
10
anonymity, transparency, limit orders
13.
Bortoli, Luke Gareth The University of Sydney Business School
Frino, Alex University of Sydney - Discipline of Finance
Jarnecic, Elvis University of Sydney
177(84,234)
Commission rates, Brokerage, Automation, Futures
14.
Frino, Alex University of Sydney - Discipline of Finance
Viljoen, Tina The University of Sydney Business School
Wang, George H. K. George Mason University - Finance Area
Westerholm, P. Joakim The University of Sydney Business School
Zheng, Hui Discipline of Finance, The University of Sydney
Posted:
22 Aug 12
Last Revised:
02 Nov 12
176(84,694)
algorithmic trades [AT], execution algorithms, earnings announcements
15.
Frino, Alex University of Sydney - Discipline of Finance
Lepone, Andrew University of Sydney
Wang, George H. K. George Mason University - Finance Area
176(84,694)
Price Impact, Futures markets
16.
BjursellOld, Old George Mason University
Frino, Alex University of Sydney - Discipline of Finance
Tse, Yiuman University of Texas at San Antonio - College of Business
Wang, George H. K. George Mason University - Finance Area
138(105,387)
: Price volatility, Trading Frequency, Trade Size, Change in Size of Futures Contracts.
17.
Foley, Sean University of Sydney
Frino, Alex University of Sydney - Discipline of Finance
Aspris, Angelo affiliation not provided to SSRN
Posted:
01 Dec 10
Last Revised:
14 May 12
133(108,666)
1
Toehold, takeover, short term, long term
18.
Wei, Wang Chun University of Sydney - Discipline of Finance
Frino, Alex University of Sydney - Discipline of Finance
Gerace, Dionigi University of Sydney
Posted:
28 Aug 12
Last Revised:
04 Oct 12
131(110,092)
PIN, informed trading, information asymmetry, market microstructure
19.
Frino, Alex University of Sydney - Discipline of Finance
BjursellOld, Old George Mason University
Wang, George H. K. George Mason University - Finance Area
Lepone, Andrew University of Sydney
116(121,404)
2
Market Price Impacts, Liquidity Effects, Information Effects, Large Trades, Futures Price Behavior
20.
Cummings, James Richard Macquarie University, Faculty of Business and Economics
Frino, Alex University of Sydney - Discipline of Finance
Posted:
25 Aug 08
Last Revised:
24 Nov 11
110(126,420)
Financial futures, Block trades, Price impact, Limit order book, Market resiliency
21.
Frino, Alex University of Sydney - Discipline of Finance
Li, J. George University of Sydney, School of Economics and Business, Discipline of Finance
Posted:
19 Jan 09
Last Revised:
09 Feb 09
84(151,869)
Anonymity, transparency, information asymmetry, transactions costs, broker ability
22.
Aspris, Angelo University of Sydney - Discipline of Finance
Frino, Alex University of Sydney - Discipline of Finance
Posted:
05 Sep 11
Last Revised:
04 Oct 12
80(156,540)
Corporate governance, board independence, directors, liquidity, market efficiency
23.
How Much Does an Illegal Insider Trade?
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Frino, Alex University of Sydney - Discipline of Finance
Satchell, Stephen E. University of Cambridge - Faculty of Economics and Politics
Wong, Brad University of Sydney
Zheng, Hui Discipline of Finance, The University of Sydney
Posted:
16 Mar 10
Last Revised:
08 May 13
71(168,165)
2
Frino, Alex University of Sydney - Discipline of Finance
Satchell, Stephen E. University of Cambridge - Faculty of Economics and Politics
Wong, Brad University of Sydney
Zheng, Hui Discipline of Finance, The University of Sydney
0
Frino, Alex University of Sydney - Discipline of Finance
Satchell, Stephen E. University of Cambridge - Faculty of Economics and Politics
Wong, Brad University of Sydney
Zheng, Hui Discipline of Finance, The University of Sydney
71
2
24.
The Geographic Origin of Order Flow and Price Discovery
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Frino, Alex University of Sydney - Discipline of Finance
Webb, Robert I. University of Virginia (UVA)
Zheng, Hui Discipline of Finance, The University of Sydney
Posted:
09 Mar 11
Last Revised:
04 Oct 12
71(168,165)
Frino, Alex University of Sydney - Discipline of Finance
Webb, Robert I. University of Virginia (UVA)
Zheng, Hui Discipline of Finance, The University of Sydney
34
home bias, international order flow, price discovery
Frino, Alex University of Sydney - Discipline of Finance
Webb, Robert I. University of Virginia (UVA)
Zheng, Hui Discipline of Finance, The University of Sydney
Posted:
09 Mar 11
Last Revised:
03 Jan 12
37
Home bias, International order flow, Price discovery
25.
Wright, Danika J. The University of Sydney Business School
Frino, Alex University of Sydney - Discipline of Finance
Peat, Maurice University of Sydney
Posted:
23 Aug 09
Last Revised:
09 Nov 09
59(185,573)
Real estate finance, seasonality, house price index
26.
Cummings, James Richard Macquarie University, Faculty of Business and Economics
Frino, Alex University of Sydney - Discipline of Finance
39(222,154)
1
Stock index futures, Debt tax shield, Dividend valuation, Imputation credit
27.
Chau, Jane University of Wollong - School of Accounting and Finance
Frino, Alex University of Sydney - Discipline of Finance
Tian, Gary Gang University of Wollongong
Ma, Shiguang University of Wollongong - School of Accounting and Finance
Posted:
19 Aug 12
Last Revised:
25 Nov 12
38(224,307)
anonymity, liquidity, cross-listed, commonality in liquidity
28.
Frino, Alex University of Sydney - Discipline of Finance
Mollica, Vito Macquarie Graduate School of Management
Romano, Maria Grazia Università degli Studi di Salerno
34(233,477)
block trade, market impact, asymmetry
29.
Frino, Alex University of Sydney - Discipline of Finance
Jones, Stewart University of Sydney – School of Business
33(235,824)
1
30.
Wei, Wang Chun University of Sydney - Discipline of Finance
Frino, Alex University of Sydney - Discipline of Finance
Posted:
28 Aug 12
Last Revised:
04 Oct 12
32(238,293)
market microstructure, market closure theory, liquidity, Chinese futures market
31.
Frino, Alex University of Sydney - Discipline of Finance
Gallagher, David R. Centre for International Finance and Regulation
31(240,878)
2
benchmark index, index fund, investment performance, tracting error
32.
Frino, Alex University of Sydney - Discipline of Finance
Jarnecic, Elvis University of Sydney
Maroney, Daniel Brian University of Sydney - Discipline of Finance
Posted:
01 Jun 12
Last Revised:
07 May 13
29(246,292)
securities fraud, market model, disclosure, quantification, shareholder loss
33.
Lepone, Andrew University of Sydney
Frino, Alex University of Sydney - Discipline of Finance
Mollica, Vito Rismark International
Vassallo, Anthony University of Sydney - Discipline of Finance
29(246,292)
34.
Frino, Alex University of Sydney - Discipline of Finance
Jones, Stewart University of Sydney – School of Business
Wong, Jin Boon University of Sydney - Discipline of Accounting
29(246,292)
2
35.
Frino, Alex University of Sydney - Discipline of Finance
Winn, Roland Capital Partners
21(272,010)
36.
Frino, Alex University of Sydney - Discipline of Finance
Fabre, Joel Fabre University of Sydney
20(275,477)
8
37.
Frino, Alex University of Sydney - Discipline of Finance
Lepone, Andrew University of Sydney
Jarnecic, Elvis University of Sydney
19(279,063)
1
38.
McKenzie, Michael D. University of Sydney - Discipline of Finance
Frino, Alex University of Sydney - Discipline of Finance
19(279,063)
1
39.
Cummings, James Richard affiliation not provided to SSRN
Frino, Alex University of Sydney - Discipline of Finance
3(331,433)
1
Stock index futures, Arbitrage, Market efficiency, G13, G14
40.
Frino, Alex University of Sydney - Discipline of Finance
Kruk, Jennifer affiliation not provided to SSRN
Lepone, Andrew University of Sydney
3(331,433)
execution costs, opaque markets, information asymmetry, broker‐client relationships, G14, G15
41.
Frino, Alex University of Sydney - Discipline of Finance
Johnstone, David James University of Sydney - Discipline of Finance
Zheng, Hui Discipline of Finance, The University of Sydney
3(331,433)
42.
Frino, Alex University of Sydney - Discipline of Finance
Gerace, Dionigi University of Sydney
Lepone, Andrew University of Sydney
3(331,433)
1
43.
Sensenbrenner, Frank Johns Hopkins University School of Advanced International Studies
Frino, Alex University of Sydney - Discipline of Finance
McInish, Thomas H. University of Memphis - Fogelman College of Business and Economics
Insider trading, Stock markets, Financial information
44.
Frino, Alex University of Sydney - Discipline of Finance
Peat, Maurice University of Sydney
Wright, Danika J. The University of Sydney Business School
0(349,638)
Housing markets, Auctions, Hedonic regression, Sample selection
45.
Bortoli, Luke Gareth The University of Sydney Business School
Frino, Alex University of Sydney - Discipline of Finance
Jarnecic, Elvis University of Sydney
Commission rates, brokerage, automation, futures
46.
Frino, Alex University of Sydney - Discipline of Finance
Oetomo, Teddy University of Sydney - Discipline of Finance
Slippage, Trading Costs, Sydney Futures Exchange
47.
Harris, Frederick H. deB. Wake Forest University
Frino, Alex University of Sydney - Discipline of Finance
McInish, Thomas H. University of Memphis - Fogelman College of Business and Economics
48.
Frino, Alex University of Sydney - Discipline of Finance
McCorry , Michael S. affiliation not provided to SSRN
49.
Aitken, Michael J. University of New South Wales (UNSW) - School of Banking and Finance
Frino, Alex University of Sydney - Discipline of Finance
Winn, Roland Capital Partners
