David R. Gallagher

Rozetta Institute

Sydney

  • Rozetta Institute

SCHOLARLY PAPERS

77

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SSRN CITATIONS
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94

CROSSREF CITATIONS

307

Scholarly Papers (77)

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1.

The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk

Downloads 2,884 ( 4,373)

The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk

Number of pages: 48 Posted: 15 Jul 2005
Kingsley Y. L. Fong, Aaron Ng and David R. Gallagher
University of New South Wales - School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and Rozetta Institute
Downloads 2,858 (4,339)

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Derivatives, managed funds, investment performance, portfolio risk

The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk

International Review of Finance, Vol. 5, No. 1-2, pp. 1-29, March/June 2005
Number of pages: 29 Posted: 25 May 2006
Kingsley Y. L. Fong, David R. Gallagher and Aaron Ng
University of New South Wales - School of Banking and Finance, Rozetta Institute and UNSW Australia Business School, School of Banking and Finance
Downloads 26 (541,514)
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2.

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

Downloads 1,056 ( 21,950)

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

UNSW School of Banking and Finance Working Paper No. 2003-19
Number of pages: 40 Posted: 16 Dec 2003
Alex Frino, Teddy Oetomo and David R. Gallagher
The University of Sydney - Discipline of Finance, Schroder Investment Management Indonesia and Rozetta Institute
Downloads 1,056 (21,568)
Citation 5

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Passive funds, Enhanced index funds, Tracking Error, Index funds, Portfolio configuration, Index revisions, Trading strategies

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

Australian Journal of Management, Forthcoming
Posted: 21 Nov 2004
Alex Frino, Teddy Oetomo and David R. Gallagher
The University of Sydney - Discipline of Finance, Schroder Investment Management Indonesia and Rozetta Institute

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Passive funds, Enhanced index funds, Tracking Error, Index funds, Portfolio configuration, Index revisions, Trading strategies

3.

Double or Nothing: Patterns of Equity Fund Holdings and Transactions

EFA 2005 Moscow Meetings Paper
Number of pages: 46 Posted: 11 Jul 2005
Stephen J. Brown, Peter L. Swan, Onno W. Steenbeek and David R. Gallagher
New York University - Stern School of Business, University of New South Wales (UNSW Sydney, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Rozetta Institute
Downloads 1,041 (22,425)
Citation 23

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Prospect Theory, Disposition Effect, Risk management; Performance evaluation; Window dressing

4.

Momentum Investing and the Asset Allocation Decision

Downloads 847 ( 30,195)
Citation 2

Momentum Investing and the Asset Allocation Decision

Number of pages: 32 Posted: 02 Jun 2005
Karen L. Benson, Patrick Teodorowski and David R. Gallagher
University of Queensland - Business School, BT Financial Group and Rozetta Institute
Downloads 835 (30,344)
Citation 1

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Tactical asset allocation, momentum

Momentum Investing and the Asset Allocation Decision

Accounting & Finance, Vol. 47, No. 4, pp. 571-598, December 2007
Number of pages: 28 Posted: 11 Dec 2007
Karen L. Benson, David R. Gallagher and Patrick Teodorowski
University of Queensland - Business School, Rozetta Institute and BT Financial Group
Downloads 12 (639,835)
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Momentum Investing and the Asset Allocation Decision

Accounting and Finance, Forthcoming
Posted: 21 Jul 2007
Karen L. Benson, Patrick Teodorowski and David R. Gallagher
University of Queensland - Business School, BT Financial Group and Rozetta Institute

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Tactical asset allocation, momentum

5.

Investment Manager Characteristics, Strategy, Top Management Changes and Fund Performance

Downloads 827 ( 31,245)
Citation 10

Investment Manager Characteristics, Strategy, Top Management Changes and Fund Performance

SIRCA Working Paper No. 2002009M
Number of pages: 32 Posted: 07 Apr 2003
David R. Gallagher
Rozetta Institute
Downloads 797 (32,354)
Citation 2

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Investment strategy, Managed fund performance, Manager characteristics

Investment Manager Characteristics, Strategy, Top Management Changes and Fund Performance

Accounting and Finance, Vol. 43, pp. 283-309, November 2003
Number of pages: 27 Posted: 15 Dec 2003
David R. Gallagher
Rozetta Institute
Downloads 30 (517,550)
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Investment Manager Characteristics, Strategy, Top Management Changes and Fund Performance

Accounting and Finance, Forthcoming
Posted: 08 Apr 2003
David R. Gallagher
Rozetta Institute

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Investment strategy, Managed fund performance, Manager characteristics

6.

Fund Size, Transaction Costs and Performance: Size Matters!

Number of pages: 32 Posted: 06 Apr 2005 Last Revised: 24 Nov 2008
H. Chan, Robert W. Faff, David R. Gallagher and Adrian Looi
University of Melbourne - Department of Finance, University of Queensland, Rozetta Institute and UNSW Australia Business School, School of Banking and Finance
Downloads 716 (38,009)
Citation 7

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Fund size, transaction cost, market impact, fund performance

7.

Benchmarking Benchmarks: Measuring Characteristic Selectivity Using Portfolio Holdings Data

Downloads 553 ( 53,365)
Citation 8

Benchmarking Benchmarks: Measuring Characteristic Selectivity Using Portfolio Holdings Data

Accounting and Finance, Forthcoming
Number of pages: 32 Posted: 27 Mar 2007 Last Revised: 27 Jul 2008
Kingsley Y. L. Fong, Adrian D. Lee and David R. Gallagher
University of New South Wales - School of Banking and Finance, Deakin University - Department of Finance (Property and Real Estate) and Rozetta Institute
Downloads 549 (53,223)
Citation 1

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Equity fund benchmarking, Characteristic-based benchmarks

Benchmarking Benchmarks: Measuring Characteristic Selectivity Using Portfolio Holdings Data

Accounting & Finance, Vol. 48, No. 5, pp. 761-781, December 2008
Number of pages: 21 Posted: 03 Nov 2008
Kingsley Y. L. Fong, David R. Gallagher and Adrian D. Lee
University of New South Wales - School of Banking and Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 4 (701,246)
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8.

Investment Manager Skill in Small-Cap Equities

Number of pages: 35 Posted: 23 Aug 2005 Last Revised: 04 Sep 2008
Cong Chen, Carole Comerton-Forde, Terry S. Walter and David R. Gallagher
University of New South Wales, UNSW Business School, University of Sydney and Rozetta Institute
Downloads 549 (53,837)
Citation 6

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Small-cap equity funds, trading activity, performance

9.

Style Factor Timing: An Application to the Portfolio Holdings of U.S. Fund Managers

Australian Journal of Management, Forthcoming
Number of pages: 60 Posted: 24 Jan 2013 Last Revised: 23 Feb 2015
David R. Gallagher, Peter Gardner and Camille Schmidt
Rozetta Institute, Plato Investment Management and SuperRatings
Downloads 536 (55,555)
Citation 1

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Mutual Funds, Style Timing, Macroeconomic Data, Investment Performance, Stock Holdings

10.

Follow the Leader: The Cause and Consequences of Fund Managers Trading in Signal-Strength Sequence

Number of pages: 37 Posted: 26 Mar 2008 Last Revised: 21 Jul 2008
Peter L. Swan, Kingsley Y. L. Fong, Peter Gardner and David R. Gallagher
University of New South Wales (UNSW Sydney, University of New South Wales - School of Banking and Finance, Plato Investment Management and Rozetta Institute
Downloads 516 (58,283)
Citation 1

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Herding, Informational cascades, Trade sequences, Leader and follower trades

11.

In-House Investment Management: Making and Implementing the Decision

CIFR Paper No. 094/2016
Number of pages: 41 Posted: 04 Mar 2016 Last Revised: 18 Mar 2017
David R. Gallagher, Tim Gapes and Geoff Warren
Rozetta Institute, Centre for International Finance and Regulation (CIFR) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 479 (63,953)

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12.

Cross-Region, Cross-Sector Asset Allocation with Regimes

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 52 Posted: 09 Aug 2010 Last Revised: 27 Jan 2013
Yiwen (Paul) Dou, David R. Gallagher, David Schneider and Terry S. Walter
Macquarie University, Rozetta Institute, UniSuper Management Limited and University of Sydney
Downloads 473 (64,980)

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strategic asset allocation, Dynamic asset allocation, International diversification, sector rotation, regime switching, Markov switching

13.

Governance through Trading: Institutional Swing Trades and Subsequent Firm Performance

EFA 2009 Bergen Meetings Paper
Number of pages: 52 Posted: 23 Nov 2008 Last Revised: 11 Oct 2011
David R. Gallagher, Peter Gardner and Peter L. Swan
Rozetta Institute, Plato Investment Management and University of New South Wales (UNSW Sydney
Downloads 468 (65,831)
Citation 12

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Informativeness, Market microstructure, Wall Street rule, Swing trading, Monitoring

14.

Institutional Investor Monitoring and the Structure of Corporate Boards

Number of pages: 67 Posted: 20 Mar 2008
Gavin Smith, Peter L. Swan and David R. Gallagher
University of New South Wales - School of Banking and Finance, University of New South Wales (UNSW Sydney and Rozetta Institute
Downloads 463 (66,695)

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Board of Directors, Monitoring, Institutional Investment Behavior

15.

Global Equity Fund Performance: An Attribution Approach

Downloads 430 ( 72,953)
Citation 1

Global Equity Fund Performance: An Attribution Approach

Number of pages: 30 Posted: 23 Feb 2015 Last Revised: 06 Mar 2016
David R. Gallagher, Graham Harman, Camille Schmidt and Geoff Warren
Rozetta Institute, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 273 (120,829)

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global equity funds, performance attribution, market efficiency, emerging markets, portfolio management

Global Equity Fund Performance: An Attribution Approach

Financial Analysts Journal, Vol. 73(1): 56-71, 2017
Number of pages: 30 Posted: 12 Mar 2016 Last Revised: 10 Feb 2017
David R. Gallagher, Graham Harman, Camille Schmidt and Geoff Warren
Rozetta Institute, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 157 (204,247)
Citation 1

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16.

Institutional Trading Around the Ex-Dividend Day

Downloads 403 ( 78,722)

Institutional Trading Around the Ex-Dividend Day

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 44 Posted: 25 Aug 2008 Last Revised: 01 Apr 2011
Andrew Ainsworth, Kingsley Y. L. Fong, David R. Gallagher and Graham Partington
University of Wollongong - School of Accounting, Economics & Finance, University of New South Wales - School of Banking and Finance, Rozetta Institute and University of Sydney - School of Business - Finance Discipline
Downloads 403 (78,017)
Citation 6

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Dividends, franking credits, capital gains tax, ex-dividend day, institutional trading

Institutional Trading Around the Ex-Dividend Day

Australian Journal of Management, Vol. 41, No. 2, 2016
Posted: 04 May 2016
Andrew Ainsworth, Kingsley Y. L. Fong, David R. Gallagher and Graham Partington
University of Wollongong - School of Accounting, Economics & Finance, University of New South Wales - School of Banking and Finance, Rozetta Institute and University of Sydney - School of Business - Finance Discipline

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Capital Gains Tax, Dividends, Ex-Dividend Day, Institutional Trading, Tax Credits

17.

The Value of Alpha Forecasts in Portfolio Construction

Number of pages: 31 Posted: 03 Aug 2007 Last Revised: 19 May 2008
Kingsley Y. L. Fong, David R. Gallagher and Adrian D. Lee
University of New South Wales - School of Banking and Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 403 (78,722)

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Portfolio construction, Fund mimicking strategies

18.

Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

Downloads 378 ( 84,856)
Citation 22

Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

Number of pages: 37 Posted: 28 Dec 2003
Matt Pinnuck and David R. Gallagher
University of Melbourne - Department of Accounting and Business Information Systems and Rozetta Institute
Downloads 355 (90,504)
Citation 5

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Seasonality, Portfolio Holdings, Managed Fund Returns, Tax-Loss Selling, Corporate Announcements

Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

Journal of Business Finance & Accounting, Vol. 33, No. 7-8, pp. 1240-1266, September/October 2006
Number of pages: 27 Posted: 03 Oct 2006
David R. Gallagher and Matt Pinnuck
Rozetta Institute and University of Melbourne - Department of Accounting and Business Information Systems
Downloads 23 (561,412)
Citation 1
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19.

Taxes, Order Imbalance and Abnormal Returns around the Ex-Dividend Day

Downloads 349 ( 92,981)
Citation 3

Taxes, Order Imbalance and Abnormal Returns around the Ex-Dividend Day

Number of pages: 46 Posted: 12 Dec 2008 Last Revised: 08 Jun 2016
Andrew Ainsworth, Kingsley Y. L. Fong, David R. Gallagher and Graham Partington
University of Wollongong - School of Accounting, Economics & Finance, University of New South Wales - School of Banking and Finance, Rozetta Institute and University of Sydney - School of Business - Finance Discipline
Downloads 348 (92,631)
Citation 2

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Dividends, franking credits, abnormal returns, volume, order imbalance

Taxes, Order Imbalance and Abnormal Returns Around the Ex‐Dividend Day

International Review of Finance, Vol. 18, Issue 3, pp. 379-409, 2018
Number of pages: 31 Posted: 17 Sep 2018
Andrew Ainsworth, Kingsley Y.L. Fong, David R. Gallagher and Graham Partington
University of Wollongong - School of Accounting, Economics & Finance, University of South Wales, Rozetta Institute and University of Sydney - School of Business - Finance Discipline
Downloads 1 (735,614)
Citation 1
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20.

Institutional Trading and Share Returns

EFA 2005 Moscow Meetings
Number of pages: 50 Posted: 28 Feb 2005 Last Revised: 27 Feb 2011
F. Douglas Foster, David R. Gallagher and Adrian Looi
The University of Sydney - Discipline of Finance, Rozetta Institute and UNSW Australia Business School, School of Banking and Finance
Downloads 341 (95,463)
Citation 8

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Trading behavior, informed trading, market impact, institutional trading

21.

Top Management Turnover: An Examination of Portfolio Holdings and Fund Performance

UNSW Working Paper No. 2004-13
Number of pages: 45 Posted: 25 Jan 2005
Prashanthi Nadarajah, Matt Pinnuck and David R. Gallagher
University of New South Wales, University of Melbourne - Department of Accounting and Business Information Systems and Rozetta Institute
Downloads 331 (98,616)
Citation 1

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Top management turnover, portfolio holdings, fund performance

22.

Portfolio Pumping: An Examination of Investment Manager Quarter-End Trading and Impact on Performance

Number of pages: 40 Posted: 04 Nov 2005 Last Revised: 31 Mar 2008
Peter L. Swan, Peter Gardner and David R. Gallagher
University of New South Wales (UNSW Sydney, Plato Investment Management and Rozetta Institute
Downloads 328 (99,641)
Citation 6

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Gaming behavior, Window dressing, Portfolio pumping, Market manipulation

23.

Institutional Investment Flows and the Determinants of Top Fund Manager Turnover

Downloads 319 (102,851)

Institutional Investment Flows and the Determinants of Top Fund Manager Turnover

Number of pages: 36 Posted: 07 Apr 2005
Elor Dishi, David R. Gallagher and Jerry T. Parwada
UNSW Australia Business School, School of Banking and Finance, Rozetta Institute and UNSW Business School
Downloads 292 (112,470)

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Fund Flows, Pension Plan Mandates, Performance, Manager Termination

Institutional Investment Flows and the Determinants of Top Fund Manager Turnover

Accounting and Finance, Vol. 47, No. 2, pp. 243-266, June 2007
Number of pages: 24 Posted: 08 Jun 2007
Elor Dishi, Jerry T. Parwada and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, UNSW Business School and Rozetta Institute
Downloads 27 (535,225)
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24.

Individual Investors and Broker Types

Number of pages: 42 Posted: 19 Mar 2010 Last Revised: 08 Nov 2012
Kingsley Y. L. Fong, David R. Gallagher and Adrian D. Lee
University of New South Wales - School of Banking and Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 312 (105,281)
Citation 1

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Individual investors, individual investor trade performance, market efficiency

25.

Top Management Turnover: An Analysis of Active Australian Investment Managers

Number of pages: 40 Posted: 31 Dec 2003
Prashanthi Nadarajah and David R. Gallagher
University of New South Wales and Rozetta Institute
Downloads 312 (105,281)
Citation 1

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Investment manager turnover, fund performance, fund flow

26.

Portfolio Quality and Mutual Fund Performance

Downloads 305 (107,926)
Citation 5

Portfolio Quality and Mutual Fund Performance

International Review of Finance, Vol. 14, Issue 4, pp. 485-521, 2014
Number of pages: 51 Posted: 25 Sep 2012 Last Revised: 29 Jan 2015
David R. Gallagher, Peter Gardner, Camille Schmidt and Terry S. Walter
Rozetta Institute, Plato Investment Management, SuperRatings and University of Sydney
Downloads 304 (107,715)

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Mutual Funds, Active Management, Investment Performance, Fundamental Analysis, Quality, Stock Holdings

Portfolio Quality and Mutual Fund Performance

International Review of Finance, Vol. 14, Issue 4, pp. 485-521, 2014
Number of pages: 37 Posted: 03 Dec 2014
David R. Gallagher, Peter Gardner, Camille Schmidt and Terry S. Walter
Rozetta Institute, Plato Investment Management, SuperRatings and University of Sydney
Downloads 1 (735,614)
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27.

Active Investment Manager Portfolios and Preferences for Stock Characteristics

Downloads 305 (107,926)
Citation 6

Active Investment Manager Portfolios and Preferences for Stock Characteristics

SIRCA Working Paper No. 2002007M
Number of pages: 22 Posted: 15 May 2003
Simone Brands, Adrian Looi and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and Rozetta Institute
Downloads 280 (117,700)

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Active Investment Manager Portfolios and Preferences for Stock Characteristics

Accounting and Finance, Vol. 46, No. 2, pp. 169-190, June 2006
Number of pages: 22 Posted: 12 Jun 2006
Simone Brands, David R. Gallagher and Adrian Looi
UNSW Australia Business School, School of Banking and Finance, Rozetta Institute and UNSW Australia Business School, School of Banking and Finance
Downloads 25 (547,988)
Citation 2
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28.

Style Drift and Portfolio Management for Active Australian Equity Funds

Number of pages: 36 Posted: 03 Aug 2007
Andrew Ainsworth, Kingsley Y. L. Fong and David R. Gallagher
University of Wollongong - School of Accounting, Economics & Finance, University of New South Wales - School of Banking and Finance and Rozetta Institute
Downloads 295 (111,896)
Citation 3

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investment style, style drift, consistency, portfolio management, investment performance

29.

Further Analysis of the Liquidity and Information Components of Institutional Orders: Active Versus Passive Funds

Number of pages: 27 Posted: 07 Feb 2005
Alex Frino, Teddy Oetomo and David R. Gallagher
The University of Sydney - Discipline of Finance, Schroder Investment Management Indonesia and Rozetta Institute
Downloads 279 (118,752)
Citation 1

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Price impact, transaction costs, index fund, active fund

30.

Relative Hedge Fund Skill and the Informativeness of Cohort Alpha

Number of pages: 57 Posted: 25 Jan 2018 Last Revised: 09 Sep 2019
David Forsberg, David R. Gallagher and Geoff Warren
Rozetta Institute, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 275 (120,542)
Citation 1

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hedge funds; peer groups; clustering; relative performance; performance persistence

31.

Transaction Costs and Institutional Trading in Small-Cap Equity Funds

Downloads 270 (122,800)
Citation 2

Transaction Costs and Institutional Trading in Small-Cap Equity Funds

Number of pages: 32 Posted: 25 Oct 2006
Carole Comerton-Forde, Terry S. Walter, Jumana Nahhas and David R. Gallagher
UNSW Business School, University of Sydney, The University of Sydney and Rozetta Institute
Downloads 270 (122,163)
Citation 2

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transaction costs, small-cap funds, price impact

Transaction Costs and Institutional Trading in Small-Cap Equity Funds

Australian Journal of Management, Vol. 35, No. 3, pp. 313-327, 2010
Posted: 02 Apr 2011
Carole Comerton-Forde, David R. Gallagher, Jumana Nahhas and Terry S. Walter
UNSW Business School, Rozetta Institute, The University of Sydney and University of Sydney

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price impact, small-cap funds, transaction costs

32.

Global Equity Fund Performance Evaluation with Equity and Currency Style Factors

CIFR Paper No. 123/2016
Number of pages: 55 Posted: 18 Oct 2016 Last Revised: 19 Oct 2018
David R. Gallagher, Graham Harman, Camille Schmidt and Geoff Warren
Rozetta Institute, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 267 (124,316)

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Global Equities, Performance Evaluation, Active Management, Currency

33.

Institutional Trading Around Earnings Announcements

Number of pages: 38 Posted: 28 Mar 2007
Adrian Looi, Matt Pinnuck and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, University of Melbourne - Department of Accounting and Business Information Systems and Rozetta Institute
Downloads 261 (127,357)

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institutional trading, equity managers, earnings announcements, informed trading, short-term profiting, interpreting

34.

Portfolio Concentration and Investment Manager Performance

Downloads 261 (127,357)
Citation 30

Portfolio Concentration and Investment Manager Performance

NYU Working Paper No. FIN-06-028
Number of pages: 38 Posted: 13 Nov 2008
Simone Brands, Stephen J. Brown and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, New York University - Stern School of Business and Rozetta Institute
Downloads 155 (206,454)
Citation 4

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Portfolio concentration, investment performance, tracking error, active funds

Portfolio Concentration and Investment Manager Performance

NYU Working Paper No. FIN-06-027
Number of pages: 38 Posted: 13 Nov 2008
Simone Brands, Stephen J. Brown and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, New York University - Stern School of Business and Rozetta Institute
Downloads 87 (315,995)

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Portfolio concentration, investment performance, tracking error, active funds

Portfolio Concentration and Investment Manager Performance

International Review of Finance, Vol. 5, No. 3-4, pp. 149-174, September/December 2005
Number of pages: 26 Posted: 02 Nov 2006
Simone Brands, Stephen J. Brown and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, New York University - Stern School of Business and Rozetta Institute
Downloads 19 (588,936)
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35.

The Impact of Strategic Investor Activism on Institutional Trading and Portfolio Returns

Number of pages: 47 Posted: 26 Feb 2007 Last Revised: 30 Mar 2008
Peter L. Swan, Peter Gardner and David R. Gallagher
University of New South Wales (UNSW Sydney, Plato Investment Management and Rozetta Institute
Downloads 257 (129,431)

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Short-term Trading, Disposition Effect, Portfolio Turnover, Institutional Activism, Monitoring

36.

Trading Behaviour and the Performance of Daily Institutional Trades

Downloads 257 (129,431)
Citation 22

Trading Behaviour and the Performance of Daily Institutional Trades

UNSW Banking & Finance Working Paper No. 2003-10
Number of pages: 29 Posted: 21 Nov 2003
Adrian Looi and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance and Rozetta Institute
Downloads 234 (141,519)
Citation 1

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trading behaviour, investment performance, manager skill, security selection

Trading Behaviour and the Performance of Daily Institutional Trades

Accounting and Finance, Vol. 46, No. 1, pp. 125-147, March 2006
Number of pages: 23 Posted: 08 May 2006
Adrian Looi and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance and Rozetta Institute
Downloads 23 (561,412)
Citation 1
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37.

Security Timing Ability and Fund Manager Performance

Number of pages: 21 Posted: 31 May 2007 Last Revised: 24 Sep 2008
David R. Gallagher, Andrew N. Ross and Peter L. Swan
Rozetta Institute, University of New South Wales (UNSW) and University of New South Wales (UNSW Sydney
Downloads 242 (137,453)

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Security Timing, Daily Trading, Performance Evaluation

38.

Alpha Generation in Portfolio Management: Long-Run Australian Equity Fund Evidence

Downloads 233 (142,613)

Alpha Generation in Portfolio Management: Long-Run Australian Equity Fund Evidence

Number of pages: 44 Posted: 31 Aug 2012 Last Revised: 02 Aug 2013
Scott Bennett, David R. Gallagher, Graham Harman, Geoff Warren and Lihui XI
Russell Investments, Rozetta Institute, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 233 (142,127)
Citation 10

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performance evaluation, active management, portfolio holdings, trades, alpha generation

Alpha Generation in Portfolio Management: Long-Run Australian Equity Fund Evidence

Australian Journal of Management, Vol. 41, No. 1, 2016
Posted: 29 Jan 2016
Scott Bennett, David R. Gallagher, Graham Harman, Geoff Warren and Lihui XI
Russell Investments, Rozetta Institute, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management

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active management, alpha generation, performance evaluation, portfolio holdings, trades

39.

An Examination of Institutional Dividend Clienteles: Evidence from Australian Institutional Portfolio Holdings

Number of pages: 31 Posted: 21 Jul 2006
Aelee Jun, David R. Gallagher and Graham Partington
University of Wollongong - Faculty of Commerce - School of Accounting and Finance, Rozetta Institute and University of Sydney - School of Business - Finance Discipline
Downloads 226 (146,900)
Citation 3

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dividend clienteles, institutions, portfolio holdings, imputation tax credits

40.

Do Active Fund Managers Care about Capital Gains Tax Efficiency?

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 30 Posted: 07 Mar 2007 Last Revised: 30 Mar 2008
Peter L. Swan, Kingsley Y. L. Fong, Sarah Lau and David R. Gallagher
University of New South Wales (UNSW Sydney, University of New South Wales - School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and Rozetta Institute
Downloads 214 (154,684)
Citation 3

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portfolio management, capital gains tax, active management

41.

Short Selling and Over‐Optimism: Do Short Sellers Profit on the Australian Stock Exchange?

25th Australasian Finance and Banking Conference 2012
Number of pages: 41 Posted: 28 Aug 2012 Last Revised: 20 Sep 2014
David R. Gallagher, Petko S. Kalev and Eben van Wyk
Rozetta Institute, La Trobe Business School and CIMB Securities (Australia) Ltd
Downloads 201 (164,041)
Citation 1

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analysts over‐optimism, analysts skew, short selling, short interest

42.

The Implications of Blending Specialist Active Equity Management

Number of pages: 26 Posted: 14 Feb 2005
Peter Gardner and David R. Gallagher
Plato Investment Management and Rozetta Institute
Downloads 191 (171,887)
Citation 1

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Portfolio Design, Manager Configuration, Decentralised Portfolio Management

43.

Informationless Trading

Downloads 166 (194,519)

Informationless Trading

NYU Working Paper No. FIN-03-035
Number of pages: 46 Posted: 11 Nov 2008
Stephen J. Brown, David R. Gallagher, Onno W. Steenbeek and Peter L. Swan
New York University - Stern School of Business, Rozetta Institute, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Sydney
Downloads 87 (315,995)

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Informationless Trading, Sharpe Ratios, Performance Evaluation

Informationless Trading

NYU Working Paper No. SC-AM-04-01
Number of pages: 46 Posted: 04 Nov 2008
Stephen J. Brown, David R. Gallagher, Onno W. Steenbeek and Peter L. Swan
New York University - Stern School of Business, Rozetta Institute, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Sydney
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Informationless Trading, Sharpe Ratios, Performance Evaluation

44.

The Effect of Data Availability in Measuring Fund Managers’ After-Tax Alpha

CIFR Paper No. 100/2016
Number of pages: 35 Posted: 24 Mar 2016 Last Revised: 18 Mar 2017
Zhe Chen, David R. Gallagher and Geoff Warren
Acadian Asset Management, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 153 (208,433)
Citation 1

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active fund management, performance evaluation, data sources, trading, taxation

45.

Concave Payoff Patterns in Equity Fund Holdings and Transactions

Number of pages: 29 Posted: 14 Mar 2006
Stephen J. Brown, Peter L. Swan, David R. Gallagher and Onno W. Steenbeek
New York University - Stern School of Business, University of New South Wales (UNSW Sydney, Rozetta Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 140 (224,056)
Citation 1

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Performance measurement, market timing measures, disposition effect, overlay strategies

46.

Which Institutional Investor Types Are the Most Informed?

Downloads 138 (226,604)

Which Institutional Investor Types Are the Most Informed?

Number of pages: 42 Posted: 21 Sep 2016 Last Revised: 01 Apr 2018
Zhe Chen, David Forsberg and David R. Gallagher
Acadian Asset Management, Rozetta Institute and Rozetta Institute
Downloads 137 (228,525)

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Institutional Investor Types, Hedge Funds, Portfolio Holdings, Stock Selection

Which Institutional Investor Types are the Most Informed?

Accounting & Finance, Vol. 59, pp. 449-480, 2019
Number of pages: 32 Posted: 10 Apr 2019
Zhe Chen, David Forsberg and David R. Gallagher
Acadian Asset Management, Rozetta Institute and Rozetta Institute
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Portfolio holdings, Institutional investors, Holdings informativeness, Stock picking, Market timing

47.

The Threat of Exit with Optimal Contracting: Institutional Churning Trades and Subsequent Firm Performance

Number of pages: 50 Posted: 07 Jul 2009
David R. Gallagher, Peter Gardner and Peter L. Swan
Rozetta Institute, Plato Investment Management and University of New South Wales (UNSW Sydney
Downloads 132 (234,768)
Citation 1

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informativeness, voting with your feet, Wall Street rule, churning, governance

48.

Portfolio Concentration and Investment Performance

NYU Working Paper No.
Number of pages: 37 Posted: 03 Nov 2008
Simone Brands and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance and Rozetta Institute
Downloads 127 (241,736)

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49.

Why Do Institutional Investors Use Reputable Brokers?

Number of pages: 30 Posted: 16 Dec 2013 Last Revised: 23 Mar 2018
Alex Frino, David R. Gallagher, George Li, Vito Mollica and Teddy Oetomo
Macquarie University, Rozetta Institute, Macquarie Graduate School of Management, Macquarie Graduate School of Management and Schroder Investment Management Indonesia
Downloads 119 (253,814)

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Institutional Traders; Fund Managers; Trading Costs; Brokerage Commissions; Informed Trading; Global Financial Crisis; MiFID II

50.

Quality Investing in an Australian Context

Downloads 117 (257,000)

Quality Investing in an Australian Context

Australian Journal of Management, Vol. 39: 4, 2014, pp. 615-643
Number of pages: 53 Posted: 07 May 2013 Last Revised: 29 Jan 2015
David R. Gallagher, Peter Gardner, Camille Schmidt and Terry S. Walter
Rozetta Institute, Plato Investment Management, SuperRatings and University of Sydney
Downloads 117 (258,140)

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Mutual Funds, Active Management, Investment Performance, Fundamental Analysis, Quality, Stock Holdings

Quality Investing in an Australian Context

Australian Journal of Management, Vol. 39, No. 4, 2014
Posted: 14 Nov 2014
Peter Gardner, Camille Schmidt, Terry S. Walter and David R. Gallagher
Plato Investment Management, SuperRatings, University of Sydney and Rozetta Institute

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Active management, investment performance, fundamental analysis, mutual funds, quality, stock holdings

51.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 54 Posted: 22 Feb 2016 Last Revised: 02 Feb 2018
Zhe Chen, David R. Gallagher, Graham Harman, Geoff Warren and Lihui XI
Acadian Asset Management, Rozetta Institute, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 113 (263,456)

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after-tax fund performance, active management, portfolio holdings, trades

52.

The State of Origin of Australian Equity: Does Active Fund Manager Location Matter?

Australian Journal of Management, Forthcoming
Number of pages: 29 Posted: 30 May 2007 Last Revised: 01 Sep 2008
Kingsley Y. L. Fong, Adrian D. Lee and David R. Gallagher
University of New South Wales - School of Banking and Finance, Deakin University - Department of Finance (Property and Real Estate) and Rozetta Institute
Downloads 109 (270,286)

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Location, Information Advantages, Portfolio Management, Investment Performance

53.

A Model of Emulation Funds

Downloads 105 (277,372)

A Model of Emulation Funds

FIRN Research Paper
Number of pages: 47 Posted: 19 Sep 2013
Zhe Chen, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 105 (279,061)

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multi-manager, fund-of-funds, transaction costs, emulation funds

A Model of Emulation Funds

Accounting & Finance, Vol. 55, Issue 3, pp. 717-748, 2015
Number of pages: 32 Posted: 03 Sep 2015
Zhe Chen, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
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Multimanager, Fund‐of‐funds, Transaction costs, Emulation funds

54.

A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings

Downloads 103 (281,084)
Citation 2

A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings

Number of pages: 34 Posted: 13 Oct 2013 Last Revised: 21 Sep 2015
Scott Bennett, David R. Gallagher, Graham Harman, Geoff Warren and Lihui XI
Russell Investments, Rozetta Institute, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
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performance persistence, active management, portfolio holdings, trades

A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings

Accounting & Finance, Vol. 58, Issue 1, pp. 91-125, 2018
Number of pages: 35 Posted: 28 Mar 2018
Scott Bennett, David R. Gallagher, Graham Harman, Geoffrey J. Warren and Yuki Xi
Russell Investments, Rozetta Institute, Russell Investments, Centre for International Finance and Regulation (CIFR) and Russell Investments
Downloads 1 (735,614)
Citation 1
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Performance persistence, Performance evaluation, Active management, Portfolio holdings, Trades

55.

Are Funds True to Label? Matching Qualitative and Quantitative Information

CIFR Paper No.042/2015
Number of pages: 40 Posted: 24 Oct 2014 Last Revised: 01 Oct 2015
Zhe Chen, David R. Gallagher and Camille Schmidt
Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 97 (292,479)

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Asset consultants; concentration; fund managers; tracking error; turnover

56.

Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

Downloads 94 (298,364)

Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

CIFR Paper No. 019/2014
Number of pages: 32 Posted: 23 May 2014 Last Revised: 12 Mar 2015
Zhe Chen, David R. Gallagher and Adrian D. Lee
Acadian Asset Management, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 93 (302,776)

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Managed funds, portfolio holdings disclosure, copycat funds

Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

Accounting & Finance, Vol. 57, pp. 101-116, 2017
Number of pages: 16 Posted: 05 Apr 2017
Zhe Chen, David R. Gallagher and Adrian D. Lee
Acadian Asset Management, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
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Managed funds, Portfolio holdings disclosure, Copycat funds

57.

Industry Concentration, Excess Returns and Innovation in Australia

Downloads 90 (306,609)
Citation 1

Industry Concentration, Excess Returns and Innovation in Australia

Accounting and Finance, Forthcoming
Number of pages: 31 Posted: 06 Oct 2012 Last Revised: 22 Apr 2014
David R. Gallagher, Katja Ignatieva and James McCulloch
Rozetta Institute, University of New South Wales - Australian School of Business and University of Technology, Sydney
Downloads 89 (311,383)

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Industry concentration, competition, stock return

Industry Concentration, Excess Returns and Innovation in Australia

Accounting & Finance, Vol. 55, Issue 2, pp. 443-466, 2015
Number of pages: 24 Posted: 10 Jun 2015
David R. Gallagher, Katja Ignatieva and James McCulloch
Rozetta Institute, University of New South Wales - Australian School of Business and University of Technology, Sydney
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Competition, Industry concentration, Innovation, Schumpeter

58.

Does Portfolio Emulation Outperform its Target Funds?

Downloads 86 (315,588)
Citation 1

Does Portfolio Emulation Outperform its Target Funds?

Number of pages: 40 Posted: 01 Sep 2012
Zhe Chen, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 86 (318,293)
Citation 1

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Portfolio emulation, multi-manager, fund-of-funds, offsetting trades, market impact, brokerage

Does Portfolio Emulation Outperform Its Target Funds?

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
Zhe Chen, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)

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Brokerage, fund-of-funds, market impact, multi-manager, offsetting trades, portfolio emulation

59.

Capacity Constraints in Hedge Funds: The Impact of Cohort Size on Fund Performance

Number of pages: 33 Posted: 01 Dec 2017 Last Revised: 06 Apr 2020
David Forsberg, David R. Gallagher and Geoff Warren
Rozetta Institute, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
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Hedge Funds; Capacity Constraints; Implementation Shortfall; Peer Groups; Performance

60.

How has the Relevance of Institutional Brokerage Changed?

Downloads 67 (364,108)

How has the Relevance of Institutional Brokerage Changed?

Number of pages: 32 Posted: 03 Oct 2011 Last Revised: 10 Aug 2014
Kingsley Y. L. Fong, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
University of New South Wales - School of Banking and Finance, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
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transaction costs, price impact, brokers

How Has the Relevance of Institutional Brokerage Changed?

International Review of Finance, Vol. 16, Issue 4, pp. 499-524, 2016
Number of pages: 26 Posted: 07 Dec 2016
Kingsley Y. L. Fong, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
University of New South Wales - School of Banking and Finance, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
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61.

Broker Recommendations and Australian Small-Cap Equity Fund Management

Number of pages: 29 Posted: 23 Jan 2010 Last Revised: 23 Apr 2010
Carole Comerton-Forde, David R. Gallagher, Joyce Lai and Terry S. Walter
UNSW Business School, Rozetta Institute, University of New South Wales and University of Sydney
Downloads 54 (404,893)

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62.

Size and Investment Performance: A Research Note

Abacus, Vol. 41, No. 1, pp. 55-65, February 2005
Number of pages: 11 Posted: 02 Feb 2005
Kyle M. Martin and David R. Gallagher
Commonwealth Bank of Australia and Rozetta Institute
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63.

Is Index Performance Achievable? An Analysis of Australian Equity Index Funds

Abacus, Vol. 38, No. 2, pp. 200-214, 2002
Number of pages: 15 Posted: 23 Dec 2002
Alex Frino and David R. Gallagher
The University of Sydney - Discipline of Finance and Rozetta Institute
Downloads 31 (499,016)
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benchmark index, index fund, investment performance, tracting error

64.

Are Funds True to Label? Matching Qualitative and Quantitative Information – Internet Appendix

CIFR Paper No. 042(a)/2015
Number of pages: 19 Posted: 30 Sep 2015
Zhe Chen, David R. Gallagher and Camille Schmidt
Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 29 (509,449)

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65.

Portfolio Selection, Diversification and Fund-of-Funds: A Note

Accounting and Finance, Vol. 45, No. 2, pp. 185-197, July 2005
Number of pages: 13 Posted: 08 Jun 2005
Simone Brands and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance and Rozetta Institute
Downloads 27 (520,323)
Citation 1
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66.

Attribution of Investment Performance: An Analysis of Australian Pooled Superannuation Funds

Accounting and Finance, Vol. 41, pp. 41-62, July 2001
Number of pages: 22 Posted: 01 Nov 2003
David R. Gallagher
Rozetta Institute
Downloads 25 (531,958)
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67.

Are Active Fund Managers Collectors of Private Information or Fast Interpreters of Public Information?

Accounting & Finance, Vol. 50, No. 3, pp. 635-662, September 2010
Number of pages: 28 Posted: 24 Aug 2010
David R. Gallagher, Adrian Looi and Matt Pinnuck
Rozetta Institute, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 3 (679,373)
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68.

Broker Recommendations and Australian Small‐Cap Equity Fund Management

Accounting & Finance, Vol. 51, Issue 4, pp. 893-922, 2011
Number of pages: 30 Posted: 03 Nov 2011
Carole Comerton‐Forde, David R. Gallagher, Joyce Lai and Terry S. Walter
affiliation not provided to SSRN, Rozetta Institute, University of New South Wales and University of Sydney
Downloads 2 (689,169)
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Active small‐cap fund management, Broker recommendations, Alpha

69.

Follow the Leader: Fund Managers Trading in Signal‐Strength Sequence

Accounting & Finance, Vol. 51, Issue 3, pp. 684-710, 2011
Number of pages: 27 Posted: 03 Aug 2011
Kingsley Y. L. Fong, David R. Gallagher, Peter Gardner and Peter L. Swan
University of New South Wales - School of Banking and Finance, Rozetta Institute, Plato Investment Management and affiliation not provided to SSRN
Downloads 2 (689,169)
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Herding, Informational cascades, Information confirmation, Trade sequences, Leader and follower trades, G14, G23

70.

Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

Accounting & Finance, Vol. 57, Issue 1, pp. 113-129, 2017
Number of pages: 17 Posted: 19 Mar 2020
Zhe Chen, David R. Gallagher and Adrian D. Lee
Centre for International Finance and Regulation (CIFR), Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 1 (701,458)
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Managed funds, Portfolio holdings disclosure, Copycat funds

71.

In‐House Asset Management in the Australian Superannuation Industry

Accounting & Finance, Vol. 59, pp. 615-655, 2019
Number of pages: 41 Posted: 10 Apr 2019
David R. Gallagher, Timothy M. Gapes and Geoffrey J. Warren
Rozetta Institute, Centre for International Finance and Regulation (CIFR) and Centre for International Finance and Regulation (CIFR)
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Superannuation funds, In‐sourcing versus outsourcing, Portfolio construction, Governance

72.

The Effect of Data Availability in Measuring Fund Managers’ After‐Tax Alphas

Accounting & Finance, Vol. 59, pp. 411-448, 2019
Number of pages: 38 Posted: 10 Apr 2019
Zhe Chen, David R. Gallagher and Geoffrey J. Warren
UNSW Business School, Rozetta Institute and Centre for International Finance and Regulation (CIFR)
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Active fund management, Performance evaluation, Data sources, Trading, Taxation

73.

Institutional Dividend Clienteles Under an Imputation Tax System

Journal of Business Finance & Accounting, Vol. 38, Issue 1-2, pp. 198-224, 2011
Number of pages: 27 Posted: 16 Mar 2011
Aelee Jun, David R. Gallagher and Graham Partington
University of Wollongong - Faculty of Commerce - School of Accounting and Finance, Rozetta Institute and University of Sydney - School of Business - Finance Discipline
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Citation 2
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dividends, clienteles, institutions, funds, portfolio holdings, imputation, tax, prudent-man

74.

Style Factor Timing: An Application to the Portfolio Holdings of US Fund Managers

Australian Journal of Management, Vol. 40, No. 2, 2015
Posted: 06 Jun 2015
David R. Gallagher, Peter Gardner and Camille Schmidt
Rozetta Institute, Plato Investment Management and SuperRatings

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Investment performance, macroeconomic data, mutual funds, stock holdings, style timing

75.

Cross‐Region and Cross‐Sector Asset Allocation with Regimes

Accounting & Finance, Vol. 54, Issue 3, pp. 809-846, 2014
Number of pages: 38 Posted: 24 Sep 2014
Paul Y. Dou, David Schneider, David R. Gallagher and Terry S. Walter
Macquarie University - Department of Marketing and Management, UniSuper Management Limited, Rozetta Institute and University of Sydney
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Asset allocation, Markov switching, Regime switching, Sector rotation

76.

Dissecting Anomalies in the Australian Stock Market

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
Yiwen (Paul) Dou and David R. Gallagher
Macquarie University and Rozetta Institute

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accruals, asset growth, contrarian, earnings growth, momentum, profitability, size, value

77.

Out-of-Sample Stock Return Predictability in Australia

Australian Journal of Management, Vol. 37, No. 3, 2012
Posted: 19 Dec 2012
Yiwen (Paul) Dou, David R. Gallagher, David Schneider and Terry S. Walter
Macquarie University, Rozetta Institute, UniSuper Management Limited and University of Sydney

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combination forecasts, out-of-sample predictability, portfolio allocation, predictive regression, sector rotation

Other Papers (3)

Total Downloads: 917
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1.

Portfolio Concentration and Investment Manager Performance

Number of pages: 38 Posted: 14 Nov 2005
Simone Brands, Stephen J. Brown and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, New York University - Stern School of Business and Rozetta Institute
Downloads 620

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Portfolio concentration, investment performance, tracking error, active funds

2.

Who Wins and Who Loses Among Individual Investors?

Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 08 Nov 2012
Kingsley Y. L. Fong, David R. Gallagher and Adrian D. Lee
University of New South Wales - School of Banking and Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 224

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Individual investors, individual investor trade performance, market efficiency

3.

Do Institutions Really Exploit Individuals? The Intraday Losses and Offsetting Returns of Discount and Premium Retail Investors

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 40 Posted: 24 Aug 2008 Last Revised: 14 Nov 2008
Kingsley Y. L. Fong, David R. Gallagher and Adrian D. Lee
University of New South Wales - School of Banking and Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 73

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