Geoff Warren

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Senior Lecturer

CBE Building 26C

Kingsley Sreet, Acton

Canberra, ACT 0200

Australia

SCHOLARLY PAPERS

40

DOWNLOADS
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SSRN RANKINGS

Top 5,339

in Total Papers Downloads

8,152

SSRN CITATIONS
Rank 16,596

SSRN RANKINGS

Top 16,596

in Total Papers Citations

18

CROSSREF CITATIONS

34

Scholarly Papers (40)

Long-Term Investing: What Determines Investment Horizon?

CIFR Paper No. 39
Number of pages: 41 Posted: 23 Oct 2014
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 410 (72,665)
Citation 1

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Long-Term Investing: What Determines Investment Horizon?

CIFR Paper No. 024/2014
Number of pages: 41 Posted: 28 May 2014 Last Revised: 19 Mar 2017
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 331 (92,832)
Citation 1

Abstract:

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2.

What Dividend Imputation Means for Retirement Savers

Number of pages: 31 Posted: 05 Sep 2018
Adam Butt, Gaurav Khemka and Geoff Warren
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 620 (43,493)

Abstract:

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Retirement, Dividend Imputation, Life-Cycle Models, Portfolio Construction, Home Bias

3.

Interviews with Institutional Investors: The How and Why of Active Investing

FIRN Research Paper
Number of pages: 52 Posted: 25 Feb 2013 Last Revised: 18 Mar 2017
F. Douglas Foster and Geoff Warren
The University of Sydney - Discipline of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 618 (43,687)
Citation 1

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Active Management, Manager Selection, Multi-manager, Interviews

4.

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 463 (63,066)

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Global Equity Fund Performance: An Attribution Approach

Number of pages: 30 Posted: 23 Feb 2015 Last Revised: 06 Mar 2016
Rozetta Institute, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 265 (118,173)

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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
Rozetta Institute, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 156 (195,419)
Citation 1

Abstract:

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6.

Evaluating Fund Capacity: Issues and Methods

CIFR Paper No. 124/2016
Number of pages: 45 Posted: 28 Sep 2016
Michael O'Neill and Geoff Warren
Bond University - Bond Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 359 (85,238)
Citation 3

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7.

Why Might Investors Choose Active Management?

Number of pages: 49 Posted: 24 Feb 2011 Last Revised: 20 Feb 2013
Geoff Warren and F. Douglas Foster
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and The University of Sydney - Discipline of Finance
Downloads 335 (92,207)
Citation 3

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Investment Management, Active versus Passive, Manager Selection

8.

Do Franking Credits Matter? Exploring the Financial Implications of Dividend Imputation

CIFR Paper No. 058/2015
Number of pages: 42 Posted: 03 Jun 2015
University of Wollongong - School of Accounting, Economics & Finance, University of Sydney - School of Business - Finance Discipline and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 331 (93,454)
Citation 3

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9.

Benefits (and Pitfalls) of Long-Term Investing

CIFR Paper No. 40
Number of pages: 56 Posted: 23 Oct 2014
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 294 (106,409)
Citation 3

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10.

MySuper: A New Landscape for Default Superannuation Funds

CIFR Paper No. 020/2014
Number of pages: 23 Posted: 28 May 2014 Last Revised: 29 May 2014
Warren Chant, Mano Mohankumar and Geoff Warren
Chant West, Chant West and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 274 (114,715)
Citation 10

Abstract:

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11.

Relative Hedge Fund Skill and the Informativeness of Cohort Alpha

Number of pages: 57 Posted: 25 Jan 2018 Last Revised: 09 Sep 2019
Rozetta Institute, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 267 (117,873)
Citation 1

Abstract:

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hedge funds; peer groups; clustering; relative performance; performance persistence

12.

Global Equity Fund Performance Evaluation with Equity and Currency Style Factors

CIFR Paper No. 123/2016
Number of pages: 55 Posted: 18 Oct 2016 Last Revised: 19 Oct 2018
Rozetta Institute, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 262 (120,197)

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Global Equities, Performance Evaluation, Active Management, Currency

13.

Long-Term Investing as an Agency Problem

CIFR Paper No. 063/2015
Number of pages: 13 Posted: 01 Oct 2015 Last Revised: 19 Mar 2017
David Neal and Geoff Warren
Future Fund and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 262 (120,197)
Citation 5

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14.

Portfolio Construction and Performance Evaluation for Long-term Investors

CIFR Paper No. 56/2015
Number of pages: 21 Posted: 18 Mar 2015 Last Revised: 28 Aug 2015
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 244 (129,388)

Abstract:

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15.

Designing an Investment Organization for Long-Term Investing

CIFR Paper No. 41
Number of pages: 54 Posted: 23 Oct 2014 Last Revised: 19 Mar 2017
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 233 (135,430)
Citation 3

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

Number of pages: 44 Posted: 31 Aug 2012 Last Revised: 02 Aug 2013
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 228 (137,817)
Citation 10

Abstract:

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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
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

17.

When Should Investors Choose an Alternative to Passively Investing in a Capitalization-Weighted Index?

Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Number of pages: 22 Posted: 17 Jul 2010
Don Ezra and Geoff Warren
Russell Investments - New York and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 206 (152,393)
Citation 2

Abstract:

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Investment management

18.

MySuper: A Stage in an Evolutionary Process

CIFR Paper No. 048/2014
Number of pages: 65 Posted: 13 Dec 2014
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 197 (158,898)
Citation 1

Abstract:

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19.

What Does it Mean to Be a Long-Term Investor?

Brandes Institute Research Paper No. 2016-04
Number of pages: 10 Posted: 08 Sep 2017
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 177 (175,035)

Abstract:

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20.

MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged

Forthcoming, Applied Finance Letters, CIFR Paper No. 037
Number of pages: 14 Posted: 27 Aug 2014 Last Revised: 30 Sep 2014
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 158 (193,016)

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Superannuation, MySuper, KiwiSaver, regulation, portfolio construction, fees

21.

Capacity Management for Institutional Asset Owners

CIFR Paper No. 125/2016
Number of pages: 18 Posted: 24 Oct 2016 Last Revised: 18 Jan 2017
Michael O'Neill and Geoff Warren
Bond University - Bond Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 154 (197,316)
Citation 1

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22.

Delegation, Trust and Defaulting in Retirement Savings: Perspectives from Plan Executives and Members

CIFR Paper No. 065/2015, FIRN Research Paper No. 2638998
Number of pages: 37 Posted: 05 Aug 2015
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 154 (197,316)
Citation 1

Abstract:

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23.

Active Investing as a Negative Sum Game: A Critical Review

Journal of Investment Management, Forthcoming
Number of pages: 20 Posted: 23 Aug 2019 Last Revised: 22 Jan 2020
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 151 (200,459)

Abstract:

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fund management, active versus passive, zero-sum game

24.

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
Acadian Asset Management, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 150 (201,602)
Citation 1

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

25.

The Superannuation System and Its Regulation: Views from Fund Executives

CIFR Paper No. 030/2014
Number of pages: 18 Posted: 08 Jul 2014 Last Revised: 13 Jul 2017
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 122 (237,376)
Citation 3

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26.
Downloads 116 (246,446)
Citation 1

Capacity Analysis

CIFR Paper No. 129/2016
Number of pages: 50 Posted: 06 Dec 2016
Michael O'Neill, Camille Schmidt and Geoff Warren
Bond University - Bond Business School, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 116 (247,591)
Citation 1

Abstract:

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Capacity Analysis

CIFR Paper No. 129/2016
Posted: 12 Apr 2017
Michael O'Neill, Camille Schmidt and Geoff Warren
Bond University - Bond Business School, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Abstract:

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27.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 54 Posted: 22 Feb 2016 Last Revised: 02 Feb 2018
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 111 (254,326)

Abstract:

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

A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings

Number of pages: 34 Posted: 13 Oct 2013 Last Revised: 21 Sep 2015
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 101 (273,201)

Abstract:

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performance persistence, active management, portfolio holdings, trades

29.

How Sub-Optimal Are Age-Based Life-Cycle Investment Products?

Number of pages: 22 Posted: 10 Jul 2019 Last Revised: 30 Jul 2019
Gaurav Khemka, Mogens Steffensen and Geoff Warren
Australian National University (ANU), University of Copenhagen and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 77 (321,616)

Abstract:

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life-cycle models, portfolio optimization, investment product design, target date funds

30.

Capacity Constraints in Hedge Funds: The Impact of Cohort Size on Fund Performance

Number of pages: 52 Posted: 01 Dec 2017
Rozetta Institute, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 68 (344,786)

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

31.

The Impact of Broker Market Structure on Stock Liquidity

Number of pages: 47 Posted: 12 Jul 2016 Last Revised: 29 Sep 2016
Wai-Man (Raymond) Liu, Joshua Soo and Geoff Warren
Australian National University (ANU) - School of Finance and Applied Statistics, Deloitte Australia and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 66 (350,224)
Citation 1

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Market liquidity, Stockbroking, Industrial organization

32.

How Investment Risk Evolves with Horizon

Number of pages: 27 Posted: 19 Oct 2018
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 53 (389,952)

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investment horizon, investment risk, investment process

33.

Return Dispersion and Fund Performance: Australia – The Land of Opportunity?

Number of pages: 50 Posted: 10 May 2019 Last Revised: 21 Jan 2020
Ying Cao, Anna Helen von Reibnitz and Geoff Warren
Australian National University (ANU) - College of Business and Economics, Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 50 (400,106)
Citation 1

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mutual funds, return dispersion, cross-sectional volatility, active management

34.

The ‘Right’ Level for the Superannuation Guarantee: A Straightforward Issue by No Means

Number of pages: 31
Gaurav Khemka, YIFU TANG and Geoff Warren
Australian National University (ANU), Australian National University and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 46

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35.

Design of Investment Options using Utility Functions: A Demonstration for ‘MyRetirement’ Products

Number of pages: 22 Posted: 01 Jan 2020
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 43 (429,433)

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Retirement, pensions, portfolio construction, utility functions, investment products, behavioral

36.

Capacity Analysis for Equity Funds

Posted: 22 May 2019
Michael O'Neill, Camille Schmidt and Geoff Warren
Bond University - Bond Business School, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Abstract:

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Capacity, equity mutual funds, alpha, portfolio construction, manager selection, scale

37.

One Size Fits All? Tailoring Retirement Plan Defaults

Journal of Economic Behavior and Organization, 145, 546-566, January 2018
Posted: 12 Dec 2018
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

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Pensions, Default, Financial Services, Regulation

38.

Choosing and Using Utility Functions in Forming Portfolios

Financial Analysts Journal, Volume 75, Issue 3, 2019, pp. 39-69
Posted: 25 Jul 2018 Last Revised: 14 Aug 2019
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

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utility function, portfolio construction, investment horizon

39.

The Australian Superannuation System Post Stronger Super: Views from Fund Executives.

Law and Financial Markets Review, 2015, 9(2), 96-102
Posted: 13 Dec 2017
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and The University of Sydney Business School

Abstract:

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40.

Are Imputation Credits Capitalised into Stock Prices?

Accounting & Finance, Vol. 55, Issue 1, pp. 241-277, 2015
Number of pages: 37 Posted: 11 Mar 2015
Hong Leong Investment Bank, Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 0 (687,442)
Citation 3
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Dividend imputation, Share valuation, Cost of capital