David R. Gallagher

Capital Markets CRC Limited

GPO Box 970

55 Harrington Street

Sydney, NSW 2001

Australia

Macquarie Graduate School of Management

Professor of Finance

MGSM

99 Talavera Road

Macquarie Park, NSW 2109

Australia

http://www.mgsm.edu.au

SCHOLARLY PAPERS

72

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203

Scholarly Papers (72)

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 Macquarie Graduate School of Management
Downloads 2,706 (3,162)
Citation 2

Abstract:

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, Macquarie Graduate School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 26 (419,953)
Citation 2

Abstract:

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, The University of Sydney - Discipline of Finance and Macquarie Graduate School of Management
Downloads 981 (16,994)
Citation 4

Abstract:

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, The University of Sydney - Discipline of Finance and Macquarie Graduate School of Management

Abstract:

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
New York University - Stern School of Business, University of New South Wales (UNSW Australia), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Macquarie Graduate School of Management
Downloads 972 (16,623)
Citation 18

Abstract:

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

4.
Downloads 817 ( 22,753)
Citation 1

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 Macquarie Graduate School of Management
Downloads 805 (22,829)
Citation 1

Abstract:

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, Macquarie Graduate School of Management and BT Financial Group
Downloads 12 (499,465)
Citation 1

Abstract:

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 Macquarie Graduate School of Management

Abstract:

Tactical asset allocation, momentum

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
Macquarie Graduate School of Management
Downloads 748 (25,372)
Citation 14

Abstract:

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
Macquarie Graduate School of Management
Downloads 30 (400,328)
Citation 14

Abstract:

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

Accounting and Finance, Forthcoming
Posted: 08 Apr 2003
David R. Gallagher
Macquarie Graduate School of Management

Abstract:

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, Macquarie Graduate School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 623 (30,992)
Citation 6

Abstract:

Fund size, transaction cost, market impact, fund performance

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, University of Technology, Sydney - Finance Discipline Group and Macquarie Graduate School of Management
Downloads 526 (40,925)
Citation 5

Abstract:

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, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 4 (541,583)
Citation 5

Abstract:

8.

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
University of New South Wales (UNSW Australia), University of New South Wales - School of Banking and Finance, Plato Investment Management and Macquarie Graduate School of Management
Downloads 493 (44,474)

Abstract:

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

9.

Investment Manager Skill in Small-Cap Equities

Number of pages: 35 Posted: 23 Aug 2005 Last Revised: 04 Sep 2008
University of New South Wales, University of Melbourne - Department of Finance, University of Sydney and Macquarie Graduate School of Management
Downloads 487 (42,710)
Citation 7

Abstract:

Small-cap equity funds, trading activity, performance

10.

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 Australia) and Macquarie Graduate School of Management
Downloads 428 (50,632)
Citation 1

Abstract:

Board of Directors, Monitoring, Institutional Investment Behavior

11.

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
Macquarie Graduate School of Management, Plato Investment Management and University of New South Wales (UNSW Australia)
Downloads 410 (52,902)
Citation 3

Abstract:

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

12.

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, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 379 (59,542)

Abstract:

Portfolio construction, Fund mimicking strategies

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 Macquarie Graduate School of Management
Downloads 339 (70,301)
Citation 5

Abstract:

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
Macquarie Graduate School of Management and University of Melbourne - Department of Accounting and Business Information Systems
Downloads 23 (436,263)
Citation 5

Abstract:

14.

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
Macquarie University, Macquarie Graduate School of Management, UniSuper Management Limited and University of Sydney
Downloads 358 (56,224)

Abstract:

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

15.

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
Macquarie Graduate School of Management, Plato Investment Management and Centre for International Finance and Regulation (CIFR)
Downloads 350 (50,065)

Abstract:

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

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
University of Sydney - Finance Discipline, University of New South Wales - School of Banking and Finance, Macquarie Graduate School of Management and University of Sydney - School of Business - Finance Discipline
Downloads 344 (69,107)

Abstract:

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
University of Sydney - Finance Discipline, University of New South Wales - School of Banking and Finance, Macquarie Graduate School of Management and University of Sydney - School of Business - Finance Discipline

Abstract:

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

17.

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 Macquarie Graduate School of Management
Downloads 313 (75,949)
Citation 2

Abstract:

Top management turnover, portfolio holdings, fund performance

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, Macquarie Graduate School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 285 (85,694)

Abstract:

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 Australia Business School, School of Banking and Finance and Macquarie Graduate School of Management
Downloads 27 (414,699)

Abstract:

19.

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 Australia), Plato Investment Management and Macquarie Graduate School of Management
Downloads 309 (75,949)
Citation 9

Abstract:

Gaming behavior, Window dressing, Portfolio pumping, Market manipulation

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, Macquarie Graduate School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 306 (75,684)
Citation 13

Abstract:

Trading behavior, informed trading, market impact, institutional trading

21.

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 Macquarie Graduate School of Management
Downloads 298 (79,743)
Citation 2

Abstract:

Investment manager turnover, fund performance, fund flow

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 Macquarie Graduate School of Management
Downloads 272 (90,241)
Citation 3

Abstract:

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, Macquarie Graduate School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 24 (430,692)
Citation 3

Abstract:

23.

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, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 286 (82,824)
Citation 1

Abstract:

Individual investors, individual investor trade performance, market efficiency

24.
Downloads 279 ( 88,184)
Citation 1

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
Macquarie Graduate School of Management, Plato Investment Management, Centre for International Finance and Regulation (CIFR) and University of Sydney
Downloads 278 (88,071)
Citation 1

Abstract:

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
Macquarie Graduate School of Management, Plato Investment Management, Centre for International Finance and Regulation (CIFR) and University of Sydney
Downloads 1 (564,477)
Citation 1

Abstract:

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
Macquarie Graduate School of Management, Russell Investments, Centre for International Finance and Regulation (CIFR) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 149 (161,580)

Abstract:

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
Macquarie Graduate School of Management, Russell Investments, Centre for International Finance and Regulation (CIFR) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 125 (186,383)

Abstract:

Transaction Costs and Institutional Trading in Small-Cap Equity Funds

Number of pages: 32 Posted: 25 Oct 2006
University of Melbourne - Department of Finance, University of Sydney, The University of Sydney and Macquarie Graduate School of Management
Downloads 257 (95,925)
Citation 4

Abstract:

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
University of Melbourne - Department of Finance, Macquarie Graduate School of Management, The University of Sydney and University of Sydney

Abstract:

price impact, small-cap funds, transaction costs

27.

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, The University of Sydney - Discipline of Finance and Macquarie Graduate School of Management
Downloads 252 (92,549)
Citation 4

Abstract:

Price impact, transaction costs, index fund, active fund

28.

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

Number of pages: 46 Posted: 12 Dec 2008 Last Revised: 08 Jun 2016
University of Sydney - Finance Discipline, University of New South Wales - School of Banking and Finance, Macquarie Graduate School of Management and University of Sydney - School of Business - Finance Discipline
Downloads 248 (80,628)

Abstract:

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

29.

Style Drift and Portfolio Management for Active Australian Equity Funds

Number of pages: 36 Posted: 03 Aug 2007
Andrew B. Ainsworth, Kingsley Y. L. Fong and David R. Gallagher
University of Sydney - Finance Discipline, University of New South Wales - School of Banking and Finance and Macquarie Graduate School of Management
Downloads 246 (94,050)
Citation 3

Abstract:

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

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 Macquarie Graduate School of Management
Downloads 140 (170,206)
Citation 15

Abstract:

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 Macquarie Graduate School of Management
Downloads 85 (245,166)
Citation 15

Abstract:

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 Macquarie Graduate School of Management
Downloads 17 (470,719)
Citation 15

Abstract:

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 Macquarie Graduate School of Management
Downloads 219 (113,041)
Citation 21

Abstract:

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 Macquarie Graduate School of Management
Downloads 23 (436,263)
Citation 21

Abstract:

32.

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 Macquarie Graduate School of Management
Downloads 239 (97,973)
Citation 1

Abstract:

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

33.

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 Australia), Plato Investment Management and Macquarie Graduate School of Management
Downloads 237 (100,508)
Citation 1

Abstract:

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

34.

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
Macquarie Graduate School of Management, University of New South Wales (UNSW) and University of New South Wales (UNSW Australia)
Downloads 229 (105,361)

Abstract:

Security Timing, Daily Trading, Performance Evaluation

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, Macquarie Graduate School of Management, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 189 (130,495)
Citation 1

Abstract:

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, Macquarie Graduate School of Management, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management

Abstract:

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

36.

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 Australia), University of New South Wales - School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and Macquarie Graduate School of Management
Downloads 189 (125,140)
Citation 5

Abstract:

portfolio management, capital gains tax, active management

37.

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, Macquarie Graduate School of Management and University of Sydney - School of Business - Finance Discipline
Downloads 186 (123,400)
Citation 2

Abstract:

dividend clienteles, institutions, portfolio holdings, imputation tax credits

38.

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 Macquarie Graduate School of Management
Downloads 181 (133,259)
Citation 1

Abstract:

Portfolio Design, Manager Configuration, Decentralised Portfolio Management

39.

Global Equity Fund Performance Evaluation with Equity and Currency Style Factors

CIFR Paper No. 123/2016
Number of pages: 66 Posted: 18 Oct 2016 Last Revised: 17 May 2017
David R. Gallagher, Graham Harman, Camille Schmidt and Geoff Warren
Macquarie Graduate School of Management, Russell Investments, Centre for International Finance and Regulation (CIFR) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 165 (147,677)

Abstract:

Global Equities, Performance Evaluation, Active Management, Currency

40.
Downloads 157 (154,168)

Informationless Trading

NYU Working Paper No. FIN-03-035
Number of pages: 46 Posted: 11 Nov 2008
New York University - Stern School of Business, Macquarie Graduate School of Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Australia)
Downloads 83 (248,913)

Abstract:

Informationless Trading, Sharpe Ratios, Performance Evaluation

Informationless Trading

NYU Working Paper No. SC-AM-04-01
Number of pages: 46 Posted: 04 Nov 2008
New York University - Stern School of Business, Macquarie Graduate School of Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Australia)
Downloads 74 (266,917)

Abstract:

Informationless Trading, Sharpe Ratios, Performance Evaluation

41.

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

25th Australasian Finance and Banking Conference 2012, Behavioral Finance and Capital Markets Conference, University of South Australia, 2013 , The Alpha Interface, Book One, Jeffrey Mishlove, PhD
Number of pages: 41 Posted: 28 Aug 2012 Last Revised: 20 Sep 2014
David R. Gallagher, Petko S. Kalev and Eben van Wyk
Macquarie Graduate School of Management, University of South Australia - Centre for Applied Financial Studies and CIMB Securities (Australia) Ltd
Downloads 125 (158,524)

Abstract:

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

42.

Concave Payoff Patterns in Equity Fund Holdings and Transactions

Number of pages: 29 Posted: 14 Mar 2006
New York University - Stern School of Business, University of New South Wales (UNSW Australia), Macquarie Graduate School of Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 124 (176,890)

Abstract:

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

43.

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
Macquarie Graduate School of Management, Plato Investment Management and University of New South Wales (UNSW Australia)
Downloads 106 (190,431)
Citation 2

Abstract:

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

44.

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 Macquarie Graduate School of Management
Downloads 103 (208,566)
Citation 15

Abstract:

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
Macquarie Graduate School of Management, Plato Investment Management, Centre for International Finance and Regulation (CIFR) and University of Sydney
Downloads 101 (218,434)

Abstract:

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, Centre for International Finance and Regulation (CIFR), University of Sydney and Macquarie Graduate School of Management

Abstract:

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

46.

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

Australian Journal of Management, Forthcoming, UNSW Australian School of Business Research
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, University of Technology, Sydney - Finance Discipline Group and Macquarie Graduate School of Management
Downloads 99 (211,410)
Citation 1

Abstract:

Location, Information Advantages, Portfolio Management, Investment Performance

47.
Downloads 94 (227,976)

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
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 94 (229,547)

Abstract:

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
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 0

Abstract:

Multimanager, Fund‐of‐funds, Transaction costs, Emulation funds

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 84 (247,036)

Abstract:

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 1 (564,477)

Abstract:

Managed funds, Portfolio holdings disclosure, Copycat funds

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
Macquarie Graduate School of Management, University of New South Wales - Australian School of Business and University of Technology, Sydney
Downloads 76 (262,628)

Abstract:

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
Macquarie Graduate School of Management, University of New South Wales - Australian School of Business and University of Technology, Sydney
Downloads 1 (564,477)

Abstract:

Competition, Industry concentration, Innovation, Schumpeter

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
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 72 (271,225)

Abstract:

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
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group

Abstract:

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

51.

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Centre for International Finance and Regulation (CIFR)
Downloads 64 (234,520)

Abstract:

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

52.

Why Do Institutional Investors Use Reputable Brokers?

Number of pages: 29 Posted: 16 Dec 2013 Last Revised: 10 Aug 2014
Alex Frino, David R. Gallagher, George Li and Vito Mollica
Macquarie University, Macquarie Graduate School of Management, Macquarie Graduate School of Management and Macquarie Graduate School of Management
Downloads 59 (264,317)

Abstract:

Institutional Traders, Trading Cost, Brokerage Commissions, Informed Trading, Global Financial Crisis

53.

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, Macquarie Graduate School of Management, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 59 (244,935)

Abstract:

performance persistence, active management, portfolio holdings, trades

How has the Relevance of Institutional Brokerage Changed?

Number of pages: 32 Posted: 03 Oct 2011 Last Revised: 10 Aug 2014
University of New South Wales - School of Banking and Finance, The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 59 (302,153)

Abstract:

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
University of New South Wales - School of Banking and Finance, The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 0

Abstract:

55.

Broker Recommendations and Australian Small-Cap Equity Fund Management

Number of pages: 29 Posted: 23 Jan 2010 Last Revised: 23 Apr 2010
University of Melbourne - Department of Finance, Macquarie Graduate School of Management, University of New South Wales and University of Sydney
Downloads 46 (319,564)

Abstract:

56.

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 Macquarie Graduate School of Management
Downloads 32 (382,171)
Citation 8

Abstract:

57.

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 Macquarie Graduate School of Management
Downloads 31 (386,163)
Citation 3

Abstract:

benchmark index, index fund, investment performance, tracting error

58.

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 Macquarie Graduate School of Management
Downloads 27 (403,541)
Citation 4

Abstract:

59.

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
Macquarie Graduate School of Management
Downloads 25 (413,027)
Citation 10

Abstract:

60.

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
Macquarie Graduate School of Management, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 3 (521,539)
Citation 1

Abstract:

61.

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
affiliation not provided to SSRN, Macquarie Graduate School of Management, University of New South Wales and University of Sydney
Downloads 2 (527,845)

Abstract:

Active small‐cap fund management, Broker recommendations, Alpha

62.

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
University of New South Wales - School of Banking and Finance, Macquarie Graduate School of Management, Plato Investment Management and affiliation not provided to SSRN
Downloads 2 (527,845)
Citation 1

Abstract:

Herding, Informational cascades, Information confirmation, Trade sequences, Leader and follower trades, G14, G23

63.

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, Macquarie Graduate School of Management and University of Sydney - School of Business - Finance Discipline
Downloads 1 (536,520)
Citation 3

Abstract:

dividends, clienteles, institutions, funds, portfolio holdings, imputation, tax, prudent-man

64.

Which Institutional Investor Types Are the Most Informed?

Number of pages: 41 Posted: 21 Sep 2016 Last Revised: 17 May 2017
Zhe Chen, David Forsberg and David R. Gallagher
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Macquarie Graduate School of Management
Downloads 0 (268,436)

Abstract:

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

65.

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 0 (173,791)

Abstract:

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

66.

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
Macquarie Graduate School of Management, Centre for International Finance and Regulation (CIFR) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 0 (65,441)

Abstract:

67.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 48 Posted: 22 Feb 2016 Last Revised: 12 Oct 2016
Zhe Chen, David R. Gallagher, Graham Harman, Geoff Warren and Lihui XI
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 0 (234,520)

Abstract:

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

68.

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Centre for International Finance and Regulation (CIFR)
Downloads 0 (438,424)

Abstract:

69.

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
Macquarie Graduate School of Management, Plato Investment Management and Centre for International Finance and Regulation (CIFR)

Abstract:

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

70.

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, Macquarie Graduate School of Management and University of Sydney
Downloads 0 (549,040)

Abstract:

Asset allocation, Markov switching, Regime switching, Sector rotation

71.

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 Macquarie Graduate School of Management

Abstract:

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

72.

Out-of-Sample Stock Return Predictability in Australia

Australian Journal of Management, Vol. 37, No. 3, 2012
Posted: 19 Dec 2012
Macquarie University, Macquarie Graduate School of Management, UniSuper Management Limited and University of Sydney

Abstract:

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

Other Papers (3)

Total Downloads: 838    Citations: 15
1.

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, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 212 (70,034)

Abstract:

Individual investors, individual investor trade performance, market efficiency

2.

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, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 64

Abstract:

3.

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 Macquarie Graduate School of Management
Downloads 0 (102,669)
Citation 15

Abstract:

Portfolio concentration, investment performance, tracking error, active funds