Gateway
No.1 Macquarie Place
Sydney, 2000
Australia
http://rozetta.com.au
Gold Coast, QLD 4229
Rozetta Institute
Bond University
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Derivatives, managed funds, investment performance, portfolio risk
Passive funds, Enhanced index funds, Tracking Error, Index funds, Portfolio configuration, Index revisions, Trading strategies
Prospect Theory, Disposition Effect, Risk management; Performance evaluation; Window dressing
Tactical asset allocation, momentum
Investment strategy, Managed fund performance, Manager characteristics
Fund size, transaction cost, market impact, fund performance
Small-cap equity funds, trading activity, performance
Equity fund benchmarking, Characteristic-based benchmarks
Mutual Funds, Style Timing, Macroeconomic Data, Investment Performance, Stock Holdings
strategic asset allocation, Dynamic asset allocation, International diversification, sector rotation, regime switching, Markov switching
Herding, Informational cascades, Trade sequences, Leader and follower trades
global equity funds, performance attribution, market efficiency, emerging markets, portfolio management
Informativeness, Market microstructure, Wall Street rule, Swing trading, Monitoring
Hedge funds, performance evaluation, performance persistence, manager selection, portfolio construction, cluster analysis
Board of Directors, Monitoring, Institutional Investment Behavior
Portfolio construction, Fund mimicking strategies
Dividends, franking credits, capital gains tax, ex-dividend day, institutional trading
Capital Gains Tax, Dividends, Ex-Dividend Day, Institutional Trading, Tax Credits
Dividends, franking credits, abnormal returns, volume, order imbalance
Seasonality, Portfolio Holdings, Managed Fund Returns, Tax-Loss Selling, Corporate Announcements
Individual investors, individual investor trade performance, market efficiency
Top management turnover, portfolio holdings, fund performance
investment style, style drift, consistency, portfolio management, investment performance
Trading behavior, informed trading, market impact, institutional trading
Gaming behavior, Window dressing, Portfolio pumping, Market manipulation
Mutual Funds, Active Management, Investment Performance, Fundamental Analysis, Quality, Stock Holdings
Emotions, Social Media, News Media, Investor Decision Making, Earnings Announcement; Asset Pricing
Investment manager turnover, fund performance, fund flow
Global Equities, Performance Evaluation, Active Management, Currency
transaction costs, small-cap funds, price impact
price impact, small-cap funds, transaction costs
Fund Flows, Pension Plan Mandates, Performance, Manager Termination
Price impact, transaction costs, index fund, active fund
performance evaluation, active management, portfolio holdings, trades, alpha generation
active management, alpha generation, performance evaluation, portfolio holdings, trades
Portfolio concentration, investment performance, tracking error, active funds
institutional trading, equity managers, earnings announcements, informed trading, short-term profiting, interpreting
Short-term Trading, Disposition Effect, Portfolio Turnover, Institutional Activism, Monitoring
trading behaviour, investment performance, manager skill, security selection
Security Timing, Daily Trading, Performance Evaluation
analysts over‐optimism, analysts skew, short selling, short interest
dividend clienteles, institutions, portfolio holdings, imputation tax credits
portfolio management, capital gains tax, active management
Portfolio Design, Manager Configuration, Decentralised Portfolio Management
Informationless Trading, Sharpe Ratios, Performance Evaluation
Hedge Funds; Capacity Constraints; Implementation Shortfall; Peer Groups; Performance
Institutional Investor Types, Hedge Funds, Portfolio Holdings, Stock Selection
Emotions, social media, news media, investor decision making, earnings announcement; asset pricing
Emotions, Investment Strategy, Social Media, News Media, Investor Decision Making, Earnings Announcement, Asset Pricing
active fund management, performance evaluation, data sources, trading, taxation
Institutional Traders; Fund Managers; Trading Costs; Brokerage Commissions; Informed Trading; Global Financial Crisis; MiFID II
informativeness, voting with your feet, Wall Street rule, churning, governance
Performance measurement, market timing measures, disposition effect, overlay strategies
after-tax fund performance, active management, portfolio holdings, trades
Active management, investment performance, fundamental analysis, mutual funds, quality, stock holdings
multi-manager, fund-of-funds, transaction costs, emulation funds
performance persistence, active management, portfolio holdings, trades
Location, Information Advantages, Portfolio Management, Investment Performance
Portfolio emulation, multi-manager, fund-of-funds, offsetting trades, market impact, brokerage
Brokerage, fund-of-funds, market impact, multi-manager, offsetting trades, portfolio emulation
Asset consultants; concentration; fund managers; tracking error; turnover
Managed funds, portfolio holdings disclosure, copycat funds
Industry concentration, competition, stock return
transaction costs, price impact, brokers
Investment performance, macroeconomic data, mutual funds, stock holdings, style timing
accruals, asset growth, contrarian, earnings growth, momentum, profitability, size, value
combination forecasts, out-of-sample predictability, portfolio allocation, predictive regression, sector rotation