Don U. A. Galagedera

Monash University - Department of Econometrics and Business Statistics

Dr.

900 Dandenong Road

Caulfield East, VIC 3145

Australia

  • Monash University - Department of Econometrics and Business Statistics

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    • Tel: +61 3 9903 1578
    • Fax: +61 3 9903 2007
SCHOLARLY PAPERS

20

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CITATIONS
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28

Scholarly Papers (20)

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1.

A Review of Capital Asset Pricing Models

Number of pages: 22 Posted: 05 Oct 2004
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics
Downloads 3,456 (2,789)
Citation 3

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Asset pricing, CAPM, single-factor models, multi-factor models

2.

Performance of Indian Commercial Banks (1995-2002): An Application of Data Envelopment Analysis and Malmquist Productivity Index

Number of pages: 31 Posted: 01 Sep 2004
Don U. A. Galagedera and Piyadasa Edirisuriya
Monash University - Department of Econometrics and Business Statistics and Monash University
Downloads 1,275 (14,716)
Citation 6

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Indian banks, productivity change, DEA, Malmquist index

3.

Investment Performance Appraisal Methods with Special Reference to Data Envelopment Analysis

Sri Lanka Journal of Management, Vol. 8, Nos. 1&2, 2003
Number of pages: 30 Posted: 13 Oct 2004
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics
Downloads 874 (25,911)
Citation 1

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Investment performance appraisal, data envelopment analysis

4.

Relationship between Downside Beta and CAPM Beta

Emerging Markets Review, Forthcoming
Number of pages: 17 Posted: 07 Dec 2005 Last Revised: 10 Aug 2008
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics
Downloads 677 (36,839)

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CAPM beta, downside risk, data generating process, asset pricing

5.

Beta Risk and Regime Shift in Market Volatility

Number of pages: 18 Posted: 01 Nov 2004
Roland George Shami and Don U. A. Galagedera
Monash University and Monash University - Department of Econometrics and Business Statistics
Downloads 421 (67,467)
Citation 1

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Markov regime-switching, market volatility, beta risk

6.

Is Systematic Downside Beta Risk Really Priced? Evidence in Emerging Market Data

Number of pages: 39 Posted: 30 Aug 2005
Don U. A. Galagedera and Robert D. Brooks
Monash University - Department of Econometrics and Business Statistics and Monash University
Downloads 389 (74,143)
Citation 3

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Beta, downside risk, emerging markets

7.

Association between Markov Regime-Switching Market Volatility and Beta Risk: Evidence from Dow Jones Industrial Securities

Number of pages: 27 Posted: 30 Sep 2004
Don U. A. Galagedera and Roland George Shami
Monash University - Department of Econometrics and Business Statistics and Monash University
Downloads 376 (77,097)

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Asset pricing, Markov regime switching, market volatility, beta risk

8.

Wavelet Timescales and Conditional Relationship between Higher-Order Systematic Co-Moments and Portfolio Returns: Evidence in Australian Data

Monash University Econometrics and Business Statistics Working Paper No. WP 16-04
Number of pages: 30 Posted: 30 Sep 2004
Don U. A. Galagedera and Elizabeth Ann Maharaj
Monash University - Department of Econometrics and Business Statistics and Monash University
Downloads 283 (105,940)
Citation 12

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Wavelet multi-scaling, higher-order systematic co-moments, asset pricing

9.

Relationship between Downside Risk and Return: New Evidence Through a Multiscaling Approach

Number of pages: 27 Posted: 19 Apr 2006
Don U. A. Galagedera, Elizabeth Ann Maharaj and Robert D. Brooks
Monash University - Department of Econometrics and Business Statistics, Monash University and Monash University
Downloads 235 (128,403)

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wavelet multiscales, CAPM, downside beta, downside co-skewness

10.

Economic Significance of Downside Risk in Developed and Emerging Markets

Number of pages: 10 Posted: 07 Oct 2006
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics
Downloads 189 (157,805)
Citation 2

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Economic significance, downside beta, downside co-skewness, emerging markets, developed markets

11.

Modelling Time-Varying Downside Risk

The Icfai University Journal of Financial Economics, Vol. 7, No. 1, March 2009, 21st Australian Finance and Banking Conference 2008
Number of pages: 23 Posted: 07 Aug 2008 Last Revised: 14 Jun 2009
Don U. A. Galagedera and Asmah M. Mohd Jaapar
Monash University - Department of Econometrics and Business Statistics and Islamic Science University of Malaysia
Downloads 176 (168,280)
Citation 3

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Conditional covariance, time-varying downside risk, downside market

12.

Trading Activity and Realized Volatility: Evidence with Decomposed Trading Volume and Order Imbalance

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 37 Posted: 25 Aug 2010 Last Revised: 24 Nov 2010
Sze Shih Ting, Don U. A. Galagedera, Sirimon Treepongkaruna and Robert D. Brooks
Monash University, Monash University - Department of Econometrics and Business Statistics, The University of Western Australia and Monash University
Downloads 143 (200,581)

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Trading activity, realized volatility, order imbalance

13.

Modelling Price Movement and Trading Volume in Conditional Volatility

22nd Australasian Finance and Banking Conference 2009
Number of pages: 28 Posted: 24 Aug 2009 Last Revised: 14 Dec 2009
Sze Shih Ting and Don U. A. Galagedera
Monash University and Monash University - Department of Econometrics and Business Statistics
Downloads 119 (231,424)

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Conditional volatility, trading volume, volatility persistence

14.

Expected Return-Idiosyncratic Risk Relation: An Investigation with Alternative Factor Models

22nd Australasian Finance and Banking Conference 2009
Number of pages: 32 Posted: 07 Aug 2009 Last Revised: 25 Feb 2010
Carla M. Bainbridge and Don U. A. Galagedera
Monash University and Monash University - Department of Econometrics and Business Statistics
Downloads 110 (244,946)

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Idiosyncratic volatility, expected return, cross-sectional analysis

15.

Some Analytical and Empirical Results on the Relation between Idiosyncratic Volatility and Expected Stock Return

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 37 Posted: 29 Jul 2010 Last Revised: 14 Sep 2010
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics
Downloads 104 (254,786)

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Idiosyncratic volatility, expected return, analytical derivation, cross-sectional analysis

16.

Does Co-Movement of Conditional Volatility Matter in Asset Pricing? Further Evidence in the Downside and Conventional Pricing Frameworks

Icfai Journal of Applied Finance, Forthcoming, 20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 29 Posted: 25 Sep 2007 Last Revised: 07 Sep 2008
Song Li and Don U. A. Galagedera
Monash University and Monash University - Department of Econometrics and Business Statistics
Downloads 73 (317,565)

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Downside risk, conditional volatility exposure, developed markets, emerging markets, asset pricing

17.

Association Between Environmental Factors and Equity Market Performance: Evidence from a Nonparametric Frontier Method

Downloads 57 (360,877)

Association Between Environmental Factors and Equity Market Performance: Evidence from a Nonparametric Frontier Method

Number of pages: 31 Posted: 17 Feb 2009 Last Revised: 05 Jun 2009
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics
Downloads 57 (366,227)

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Association between Environmental Factors and Equity Market Performance: Evidence from a Nonparametric Frontier Method

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010
Posted: 02 Sep 2010
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics

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Relative performance, Data envelopment analysis, Emerging markets, Developed markets, Operational environment

18.

An Analytical Framework for Explaining Relative Performance of CAPM Beta and Downside Beta

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 341-358, 2009
Posted: 02 Dec 2009
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics

Abstract:

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CAPM beta, downside beta, equilibrium pricing models, data generating processes, asset pricing

19.

Relative Performance of Equity Markets: An Assessment in the Conventional and Downside Frameworks

International Journal of Business, Vol. 14, No. 1, 2009
Posted: 06 Aug 2009
Carla M. Bainbridge and Don U. A. Galagedera
Monash University and Monash University - Department of Econometrics and Business Statistics

Abstract:

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Relative performance, Emerging markets, Developed markets, Data envelopment analysis, Downside framework, Conventional framework

20.

Some Analytical and Empirical Results on the Relationship between CAPM Beta and Downside Beta

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 341-358, May 2009
Posted: 07 Oct 2006 Last Revised: 26 Oct 2009
Don U. A. Galagedera
Monash University - Department of Econometrics and Business Statistics

Abstract:

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CAPM beta, downside risk, data generating process, asset pricing, developed markets, emerging markets