David R. Gallagher

Rozetta Institute

Sydney

  • Rozetta Institute

SCHOLARLY PAPERS

68

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116

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240

Scholarly Papers (68)

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1.

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

Downloads 2,958 ( 6,061)
Citation 2

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 2,928 (6,037)

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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 30 (647,180)
Citation 2

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2.

The Index Tracking Strategies of Passive and Enhanced Index Equity Funds

Downloads 1,091 ( 28,443)

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 1,091 (28,012)
Citation 4

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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 1,063 (29,516)
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 855 ( 40,139)
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 Rozetta Institute
Downloads 855 (39,583)
Citation 1

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Tactical asset allocation, momentum

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 845 ( 40,774)
Citation 1

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 845 (40,210)
Citation 3

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Investment strategy, Managed fund performance, Manager characteristics

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 738 (48,877)
Citation 7

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Fund size, transaction cost, market impact, fund performance

7.

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, University of Melbourne - Department of Finance, University of Sydney and Rozetta Institute
Downloads 565 (68,967)
Citation 7

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Small-cap equity funds, trading activity, performance

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 562 (69,428)
Citation 1

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Equity fund benchmarking, Characteristic-based benchmarks

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 560 (69,739)
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 534 (74,060)
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 522 (76,160)

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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 503 (79,716)

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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 496 (81,089)
Citation 15

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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 482 (83,883)
Citation 1

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Board of Directors, Monitoring, Institutional Investment Behavior

15.

Global Equity Fund Performance: An Attribution Approach

Downloads 481 ( 84,090)
Citation 2

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 299 (142,511)

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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 182 (230,147)
Citation 1

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16.

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 442 (92,903)

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Portfolio construction, Fund mimicking strategies

17.

Identifying Hedge Fund Skill Using Peer Cohorts

Forsberg, David and Gallagher, David R. and Warren, Geoffrey J., Identifying Hedge Fund Skill Using Peer Cohorts (15 April 2021). Financial Analysts Journal, 2021, 77(2): 97-123. Available at SSRN: https://ssrn.com/abstract=3104261 or http://dx.doi.org/10.2139/ssrn.3104261
Number of pages: 70 Posted: 25 Jan 2018 Last Revised: 04 Oct 2021
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 435 (94,672)
Citation 2

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Hedge funds, performance evaluation, performance persistence, manager selection, portfolio construction, cluster analysis

18.

Institutional Trading Around the Ex-Dividend Day

Downloads 418 ( 99,085)
Citation 6

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 418 (98,240)
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

19.

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

Downloads 393 (106,440)
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 369 (113,517)
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 24 (692,163)
Citation 1

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20.

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

Downloads 365 (115,705)
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 362 (115,985)
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 3 (901,455)
Citation 1

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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 353 (120,110)
Citation 1

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Top management turnover, portfolio holdings, fund performance

22.

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 347 (122,399)
Citation 8

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Trading behavior, informed trading, market impact, institutional trading

23.

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 346 (122,767)
Citation 5

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

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 343 (123,938)
Citation 4

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Individual investors, individual investor trade performance, market efficiency

25.

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 341 (124,796)
Citation 7

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Gaming behavior, Window dressing, Portfolio pumping, Market manipulation

26.

Portfolio Quality and Mutual Fund Performance

Downloads 319 (133,819)
Citation 7

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 316 (134,422)

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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 3 (901,455)
Citation 1

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27.

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 315 (135,570)
Citation 2

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Investment manager turnover, fund performance, fund flow

28.

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 298 (143,735)

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Fund Flows, Pension Plan Mandates, Performance, Manager Termination

29.

Global Equity Fund Performance Evaluation with Equity and Currency Style Factors

CIFR Paper No. 123/2016
Number of pages: 37 Posted: 18 Oct 2016 Last Revised: 19 Apr 2021
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 295 (145,240)

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Global Equities, Performance Evaluation, Active Management, Currency

30.

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 286 (150,024)

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31.

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 283 (151,643)
Citation 1

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Price impact, transaction costs, index fund, active fund

32.

Transaction Costs and Institutional Trading in Small-Cap Equity Funds

Downloads 280 (153,223)
Citation 3

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
University of Melbourne - Department of Finance, University of Sydney, The University of Sydney and Rozetta Institute
Downloads 280 (152,524)
Citation 3

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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
University of Melbourne - Department of Finance, Rozetta Institute, The University of Sydney and University of Sydney

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price impact, small-cap funds, transaction costs

33.

Portfolio Concentration and Investment Manager Performance

Downloads 277 (154,879)
Citation 32

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 164 (251,711)
Citation 6

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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 94 (380,513)

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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 (734,297)

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34.

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 269 (159,580)

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35.

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 269 (159,580)

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

36.

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 267 (160,802)

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

37.

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 251 (170,982)
Citation 1

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trading behaviour, investment performance, manager skill, security selection

38.

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

Downloads 249 (172,235)

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 249 (171,656)
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.

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 249 (172,235)

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Security Timing, Daily Trading, Performance Evaluation

40.

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 232 (184,345)
Citation 3

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dividend clienteles, institutions, portfolio holdings, imputation tax credits

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
Rozetta Institute, La Trobe Business School and Aware Superannuation
Downloads 226 (188,936)
Citation 1

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

42.

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 224 (190,524)
Citation 2

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portfolio management, capital gains tax, active management

43.

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 198 (213,677)
Citation 1

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Portfolio Design, Manager Configuration, Decentralised Portfolio Management

44.

Informationless Trading

Downloads 171 (242,643)

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 91 (388,493)

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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
Downloads 80 (420,260)

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Informationless Trading, Sharpe Ratios, Performance Evaluation

45.

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, Zhe Chen, David R. Gallagher and Geoff Warren
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 161 (255,293)
Citation 1

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

46.

Which Institutional Investor Types Are the Most Informed?

Number of pages: 42 Posted: 21 Sep 2016 Last Revised: 01 Apr 2018
Zhe Chen, Zhe Chen, David Forsberg and David R. Gallagher
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and Rozetta Institute
Downloads 146 (276,305)

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

47.

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 146 (276,305)
Citation 1

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

48.

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 142 (282,364)

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

49.

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 142 (282,364)
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informativeness, voting with your feet, Wall Street rule, churning, governance

50.

Capacity constraints in hedge funds: The relation between fund performance and cohort size

Forsberg, David and Gallagher, David R. and Warren, Geoffrey J., Capacity constraints in hedge funds: The relation between fund performance and cohort size (7 March 2022). Financial Analysts Journal, 2022, 78(2): 57-77. DOI: 10.1080/0015198X.2021.1996200. Available at SSRN: https://ssrn.com/abstrac
Number of pages: 37 Posted: 01 Dec 2017 Last Revised: 16 May 2022
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 134 (296,957)

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Hedge Funds; Capacity Constraints; Implementation Shortfall; Peer Groups; Performance

51.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 54 Posted: 22 Feb 2016 Last Revised: 02 Feb 2018
Zhe Chen, Zhe Chen, David R. Gallagher, Graham Harman, Geoff Warren and Lihui XI
University of New South Wales (UNSW)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 124 (313,012)
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after-tax fund performance, active management, portfolio holdings, trades

52.

Quality Investing in an Australian Context

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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 122 (318,237)
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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

53.

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, Deakin University - Department of Finance (Property and Real Estate) and Rozetta Institute
Downloads 113 (334,322)

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Location, Information Advantages, Portfolio Management, Investment Performance

54.

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
Downloads 112 (336,440)

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performance persistence, active management, portfolio holdings, trades

55.

A Model of Emulation Funds

FIRN Research Paper
Number of pages: 47 Posted: 19 Sep 2013
Zhe Chen, Zhe Chen, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
University of New South Wales (UNSW)Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 109 (342,692)

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

56.

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, Zhe Chen, David R. Gallagher and Camille Schmidt
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 100 (362,915)

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

57.

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, Zhe Chen, David R. Gallagher and Adrian D. Lee
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 97 (370,048)

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Managed funds, portfolio holdings disclosure, copycat funds

58.

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, Katja Ignatieva and James McCulloch
Rozetta Institute, University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Technology, Sydney
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Industry concentration, competition, stock return

59.

Does Portfolio Emulation Outperform its Target Funds?

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Does Portfolio Emulation Outperform its Target Funds?

Number of pages: 40 Posted: 01 Sep 2012
Zhe Chen, Zhe Chen, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
University of New South Wales (UNSW)Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 92 (385,760)
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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, Zhe Chen, F. Douglas Foster, David R. Gallagher and Adrian D. Lee
University of New South Wales (UNSW)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

60.

How has the Relevance of Institutional Brokerage Changed?

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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)
Downloads 68 (460,395)

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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)
Downloads 1 (932,912)

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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
University of Melbourne - Department of Finance, Rozetta Institute, University of New South Wales and University of Sydney
Downloads 58 (491,636)

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62.

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, Zhe Chen, David R. Gallagher and Camille Schmidt
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 34 (606,157)

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63.

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
Downloads 32 (618,090)
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64.

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
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benchmark index, index fund, investment performance, tracting error

65.

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
Downloads 2 (878,396)
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dividends, clienteles, institutions, funds, portfolio holdings, imputation, tax, prudent-man

66.

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

67.

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

68.

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: 975
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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 670

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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 230

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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 75

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