Terry S. Walter

University of Sydney

Professor of Finance

P.O. Box H58

Sydney, NSW 2006

Australia

University of Technology, Sydney - School of Finance and Economics

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

31

DOWNLOADS
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CITATIONS
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Top 8,187

in Total Papers Citations

56

Scholarly Papers (31)

1.

The Association Between Audit Quality, Accounting Disclosures and Firm-Specific Risk: Evidence from the Australian IPO Market

Number of pages: 32 Posted: 22 Mar 2000
University of Sydney, Monash University, University of Technology Sydney and University of Sydney
Downloads 1,707 (6,559)
Citation 8

Abstract:

The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 33 Posted: 21 Mar 2002
UWA Business School, M250, University of Sydney Business School, University of Western Australia - Department of Accounting and Finance and University of Sydney
Downloads 830 (20,989)
Citation 27

Abstract:

Disposition effect, behavioural finance, tax-loss selling, house-money effect, prospect theory

The Reach of the Disposition Effect: Large Sample Evidence across Investor Classes

International Review of Finance, Vol. 6, No. 1-2, pp. 43-78, March/June 2006
Number of pages: 36 Posted: 02 May 2007
UWA Business School, M250, University of Sydney, Gresham Advisory Partners Limited and University of Western Australia - Department of Accounting and Finance
Downloads 28 (396,639)
Citation 26

Abstract:

3.

The Role of Investment Banks in M&A Transactions: Fees and Services

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 49 Posted: 31 Aug 2007
Alfred Yawson, Charles P. W. Yeung and Terry S. Walter
University of Adelaide Business School, Macquarie Bank and University of Sydney
Downloads 656 (28,151)
Citation 4

Abstract:

Investment banks, Quality premium, Advisory fees, Stock bids

4.

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 (41,859)
Citation 7

Abstract:

Small-cap equity funds, trading activity, performance

5.

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 (55,001)

Abstract:

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

6.

The Role of 'Other Information' in Analysts’ Forecasts in Understanding Stock Return Volatility

Review of Accounting Studies, Forthcoming, FIRN Research Paper
Number of pages: 53 Posted: 03 Oct 2013
Yaowen Shan, Stephen L. Taylor and Terry S. Walter
University of Technology Sydney (UTS) - School of Accounting, University of Technology Sydney and University of Sydney
Downloads 357 (64,443)

Abstract:

Other information, analysts’ forecasts, stock return volatility, variance decomposition

7.

Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias

EFMA 2003 Helsinki Meetings
Number of pages: 21 Posted: 14 Jun 2003
Alex Frino, Vito Mollica and Terry S. Walter
The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Sydney
Downloads 279 (81,598)

Abstract:

Block trades, Bid-Ask Bias, Asymmetry, Execution Costs, Market Microstructure

8.
Downloads 273 ( 87,293)
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
Macquarie Graduate School of Management, Plato Investment Management, Centre for International Finance and Regulation (CIFR) and University of Sydney
Downloads 273 (86,828)
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
Macquarie Graduate School of Management, Plato Investment Management, Centre for International Finance and Regulation (CIFR) and University of Sydney
Downloads 0
Citation 1

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 255 (93,409)
Citation 5

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

10.

Corporate Governance and the Long-Run Performance of Firms Issuing Seasoned Equity: An Australian Study

22nd Australasian Finance and Banking Conference 2009
Number of pages: 43 Posted: 16 Apr 2009 Last Revised: 04 Jan 2010
Philip R. Brown, Michael Lee, Sian A. Owen and Terry S. Walter
UWA Business School, M250, affiliation not provided to SSRN, UNSW Australia Business School, School of Banking and Finance and University of Sydney
Downloads 200 (112,276)

Abstract:

Corporate governance, seasoned equity issue, long-run underperformance

11.

Investment Performance of 'Environmentally-Friendly' Firms and their Initial Public Offers and Seasoned Equity Offers

Number of pages: 26 Posted: 06 Sep 2009 Last Revised: 25 Feb 2014
Pak To Chan and Terry S. Walter
The Hong Kong University of Science & Technology and University of Sydney
Downloads 153 (142,975)

Abstract:

Initial public offerings, seasoned equity offerings, event studies, environment, green, equity performance

12.

The Effect of Investor Category Trading Imbalances on Stock Returns

Number of pages: 35 Posted: 23 Aug 2007
David B. Colwell, Julia Henker and Terry S. Walter
UNSW Australia Business School, School of Banking and Finance, Bond University and University of Sydney
Downloads 149 (150,062)
Citation 4

Abstract:

trading imbalance, retail investor, feedback trading

13.

Evidence Contrary to the Disposition Effect Amongst UK Managed Funds

Number of pages: 32 Posted: 04 Mar 2005
Raymond da Silva Rosa, Huong Minh To and Terry S. Walter
University of Western Australia - Department of Accounting and Finance, University of Western Australia - Business School and University of Sydney
Downloads 109 (196,531)

Abstract:

Disposition effect, managed funds, size effect

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
Macquarie Graduate School of Management, Plato Investment Management, Centre for International Finance and Regulation (CIFR) and University of Sydney
Downloads 100 (212,923)

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
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

15.

The Packaging of Small Trades: Evidence of Price Impact Costs on Block Trading from the Singapore Exchange

Number of pages: 43 Posted: 27 Aug 2011
Murphy Lee and Terry S. Walter
University of Technology Sydney (UTS) and University of Sydney
Downloads 89 (217,624)

Abstract:

Block Trades, Microstructure, Price Impact Costs

16.

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 (320,648)

Abstract:

17.

Expert Reports in Australian Takeovers: Fees and Quality

Abacus, Vol. 41, No. 3, pp. 307-322, October 2005
Number of pages: 16 Posted: 04 Nov 2005
Martin Bugeja, Raymond da Silva Rosa and Terry S. Walter
University of Technology, Sydney, University of Western Australia - Department of Accounting and Finance and University of Sydney
Downloads 25 (399,909)

Abstract:

18.

Comparative Advantage, Industry Specialization, and the Role of Investment Banks in M&As

Number of pages: 43 Posted: 08 Nov 2014
Stockholm University - School of Business, University of Sydney, University of Adelaide Business School and University of Adelaide - Business School
Downloads 22 (274,686)

Abstract:

Industry Specialist advisors; Comparative Advantage, Acquirers, Abnormal Returns, Advisory Fees, Deal Completion

19.

Do Informed Traders Win? An Analysis of Changes in Corporate Ownership around Substantial Shareholder Notices

International Review of Finance, Vol. 5, No. 3-4, pp. 113-147, September/December 2005
Number of pages: 35 Posted: 02 Nov 2006
University of Western Australia - Department of Accounting and Finance, University of Sydney and Goldman Sachs Australia Pty Ltd.
Downloads 21 (419,628)

Abstract:

20.

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 (513,654)

Abstract:

Active small‐cap fund management, Broker recommendations, Alpha

21.

Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility

Abacus, Vol. 49, Issue 4, pp. 441-475, 2013
Number of pages: 35 Posted: 18 Dec 2013
Yaowen Shan, Stephen L. Taylor and Terry S. Walter
University of Technology Sydney (UTS) - School of Accounting, University of Technology Sydney and University of Sydney
Downloads 1 (521,734)

Abstract:

Accruals variability, Fundamental and discretionary components, Managerial discretion, Stock return volatility, Systematic and idiosyncratic risk

22.

Towards a Set of Design Principles for Executive Compensation Contracts

Abacus, Vol. 52, Issue 4, pp. 619-684, 2016
Number of pages: 66 Posted: 30 Dec 2016
Yaowen Shan and Terry S. Walter
University of Technology Sydney (UTS) - School of Accounting and University of Sydney
Downloads 0 (531,768)

Abstract:

Design principles, Executive compensation

23.

Life after a Shareholder Pay 'Strike': Consequences for ASX-Listed Firms

CIFR Paper No. 130/2016
Number of pages: 59 Posted: 30 Nov 2016 Last Revised: 10 Feb 2017
University of Technology, Sydney, University of Western Australia - Department of Accounting and Finance, University of Technology Sydney (UTS) - School of Accounting, University of Sydney and New York University (NYU) - Stern School of Business
Downloads 0 (281,564)

Abstract:

24.

Superannuation Fees and Asset Allocation

CIFR Paper No. 114/2016
Number of pages: 36 Posted: 09 Aug 2016
University of Sydney - Finance Discipline, The University of Sydney, The University of Sydney - Discipline of Finance, University of Technology, Sydney - Finance Discipline Group and University of Sydney
Downloads 0 (404,697)

Abstract:

Superannuation funds, investment fees, administration fees, asset allocation

25.

Superannuation Fund Performance and Fund Fees

CIFR Paper No. 115/2016
Number of pages: 32 Posted: 09 Aug 2016
University of Sydney - Finance Discipline, The University of Sydney, The University of Sydney - Discipline of Finance, University of Technology, Sydney - Finance Discipline Group and University of Sydney
Downloads 0 (373,747)

Abstract:

Investment fees, Performance evaluation, Superannuation funds

26.

Are Australian Superannuation Industry Fees Too High?

CIFR Paper No. 116/2016
Number of pages: 25 Posted: 02 Aug 2016 Last Revised: 02 Nov 2016
University of Sydney - Finance Discipline, The University of Sydney, The University of Sydney - Discipline of Finance, University of Technology, Sydney - Finance Discipline Group and University of Sydney
Downloads 0 (291,040)

Abstract:

27.

The Microstructure of Australian Takeover Announcements

Australian Journal of Management, Vol. 40, No. 1, 2015
Posted: 11 Mar 2015
Martin Bugeja, Vinay Patel and Terry S. Walter
University of Technology, Sydney, University of Technology Sydney - UTS Business School and University of Sydney

Abstract:

Aggressive trading, bidder, microstructure, takeover announcement, target, trade initiators, VPIN

28.

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
Macquarie University - Department of Marketing and Management, UniSuper Management Limited, Macquarie Graduate School of Management and University of Sydney
Downloads 0 (531,768)

Abstract:

Asset allocation, Markov switching, Regime switching, Sector rotation

29.

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

30.

Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness

International Review of Finance, Vol. 8, pp. 103-123, Second Singapore International Conference on Finance 2008
Posted: 15 Feb 2008 Last Revised: 19 Jul 2010
Khamis Al-Yahyaee, Toan M. Pham and Terry S. Walter
Sultan Qaboos University, UNSW Australia Business School, School of Banking and Finance and University of Sydney

Abstract:

dividends, bid-ask spread, tax effects, market microstructure, tick size

31.

The Impact of Statutory Sanctions on the Level and Information Content of Voluntary Corporate Disclosure

Posted: 18 Jul 1998
Philip R. Brown, Stephen L. Taylor and Terry S. Walter
UWA Business School, M250, University of Technology Sydney and University of Sydney

Abstract: