Kingsley Y. L. Fong

University of New South Wales - School of Banking and Finance

Sydney, NSW 2052

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

20

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CITATIONS
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65

Scholarly Papers (20)

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 2,699 (3,082)
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 25 (416,388)
Citation 2
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Abstract:

2.

International Evidence on Algorithmic Trading

AFA 2013 San Diego Meetings Paper
Number of pages: 46 Posted: 15 Mar 2012 Last Revised: 18 Sep 2015
Ekkehart Boehmer, Kingsley Y. L. Fong and J. (Julie) Wu
Singapore Management University - Lee Kong Chian School of Business, University of New South Wales - School of Banking and Finance and University of Nebraska at Lincoln
Downloads 2,099 (2,765)
Citation 15

Abstract:

Algorithmic trading, high frequency trading, market structure

3.

Do Security Analysts Discipline Credit Rating Agencies?

AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 12 Dec 2011 Last Revised: 20 Aug 2014
University of New South Wales - School of Banking and Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Imperial College London - Accounting, Finance, and Macroeconomics and Syracuse University - Department of Economics
Downloads 1,231 (9,734)
Citation 5

Abstract:

credit rating agencies, rating bias, competition

4.

What Are the Best Liquidity Proxies for Global Research?

Review of Finance, Forthcoming
Number of pages: 66 Posted: 05 Mar 2010 Last Revised: 29 Jan 2017
Kingsley Y. L. Fong, Craig W. Holden and Charles Trzcinka
University of New South Wales - School of Banking and Finance, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 739 (12,323)
Citation 8

Abstract:

Global, Liquidity, transaction costs, effective spread, price impact

5.

Why do Markets Fragment? A Panel-Data Analysis of Off-Exchange Trading

EFA 0729
Number of pages: 47 Posted: 08 Feb 2001
Kingsley Y. L. Fong, Peter L. Swan and Ananth Madhavan
University of New South Wales - School of Banking and Finance, University of New South Wales (UNSW Australia) and BlackRock, Inc.
Downloads 693 (26,689)
Citation 10

Abstract:

Fragmentation, Off-Market Trading, Transparency, Anonymity, Electronic Communication Networks

Algorithmic Trading and Changes in Firms’ Equity Capital

FIRN Research Paper
Number of pages: 36 Posted: 06 May 2012 Last Revised: 05 Feb 2013
Ekkehart Boehmer, Kingsley Y. L. Fong and J. (Julie) Wu
Singapore Management University - Lee Kong Chian School of Business, University of New South Wales - School of Banking and Finance and University of Nebraska at Lincoln
Downloads 462 (47,242)
Citation 3

Abstract:

Algorighmic trading, high frequency trading, capital raising, security issues

Algorithmic Trading and Changes in Firms’ Equity Capital

Number of pages: 32 Posted: 01 Nov 2013
Ekkehart Boehmer, Kingsley Y. L. Fong and J. (Julie) Wu
Singapore Management University - Lee Kong Chian School of Business, University of New South Wales - School of Banking and Finance and University of Nebraska at Lincoln
Downloads 77 (255,116)
Citation 3

Abstract:

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 525 (40,148)
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 (532,616)
Citation 5
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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
Peter L. Swan, Kingsley Y. L. Fong, Peter Gardner and David R. Gallagher
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 (43,496)

Abstract:

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

9.

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 (58,446)

Abstract:

Portfolio construction, Fund mimicking strategies

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 336 (69,519)

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

11.

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 (81,366)
Citation 1

Abstract:

Individual investors, individual investor trade performance, market efficiency

12.

Are Upstairs Markets Pareto Improving?

EFA 2003 Annual Conference Paper No. 751
Number of pages: 43 Posted: 23 Jul 2003
Peter L. Swan, Kingsley Y. L. Fong and Ananth Madhavan
University of New South Wales (UNSW Australia), University of New South Wales - School of Banking and Finance and BlackRock, Inc.
Downloads 260 (91,238)
Citation 2

Abstract:

Fragmentation, upstairs trading, crossing networks, liquidity, cream skimming

13.

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 (80,094)

Abstract:

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

14.

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 (94,238)
Citation 3

Abstract:

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

15.

Limit Order Revisions

Number of pages: 33 Posted: 14 Mar 2006 Last Revised: 16 Dec 2009
Kingsley Y. L. Fong and Wai-Man (Raymond) Liu
University of New South Wales - School of Banking and Finance and School of Finance, Actuarial Studies & Statistics, Australian National University
Downloads 240 (97,890)
Citation 5

Abstract:

market microstructure, limit orders, free trading option risk, non-execution risk

16.

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 (123,027)
Citation 5

Abstract:

portfolio management, capital gains tax, active management

17.

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 (211,187)
Citation 1

Abstract:

Location, Information Advantages, Portfolio Management, Investment Performance

Determinants of Household Broker Choice and the Impact on Performance

28th Australasian Finance and Banking Conference
Number of pages: 36 Posted: 21 Aug 2015 Last Revised: 28 Jul 2016
University of Sydney Business School, Darmstadt University of Technology, University of Sydney Business School, Darmstadt University of Technology and University of New South Wales - School of Banking and Finance
Downloads 46 (332,969)

Abstract:

broker choice, demographics, household investor

Determinants of Household Broker Choice and the Impact on Performance

2016 Financial Markets and Corporate Governance
Number of pages: 36 Posted: 23 Jan 2016
University of Sydney Business School, Darmstadt University of Technology, University of Sydney Business School, Darmstadt University of Technology and University of New South Wales - School of Banking and Finance
Downloads 12 (489,984)

Abstract:

broker choice, demographics, household investor

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 58 (298,423)

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
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Abstract:

20.

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

Accounting & Finance, Vol. 51, Issue 3, pp. 684-710, 2011
Number of pages: 27 Posted: 03 Aug 2011
Kingsley Y. L. Fong, David R. Gallagher, Peter Gardner and Peter L. Swan
University of New South Wales - School of Banking and Finance, Macquarie Graduate School of Management, Plato Investment Management and affiliation not provided to SSRN
Downloads 2 (518,060)
Citation 1
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Abstract:

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

Other Papers (2)

Total Downloads: 286    Citations: 0
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: