Adrian D. Lee

University of Technology, Sydney - Finance Discipline Group

Post Doctoral Fellow

PO Box 123

UTS Haymarket Campus

Broadway, NSW 2007

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

19

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CITATIONS
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7

Scholarly Papers (19)

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
University of New South Wales - School of Banking and Finance, University of Technology, Sydney - Finance Discipline Group and Macquarie Graduate School of Management
Downloads 526 (40,871)
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
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 (541,142)
Citation 5
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Abstract:

2.

The Value of Alpha Forecasts in Portfolio Construction

Number of pages: 31 Posted: 03 Aug 2007 Last Revised: 19 May 2008
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 (59,481)

Abstract:

Portfolio construction, Fund mimicking strategies

3.

Individual Investors and Broker Types

Number of pages: 42 Posted: 19 Mar 2010 Last Revised: 08 Nov 2012
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 (82,737)
Citation 1

Abstract:

Individual investors, individual investor trade performance, market efficiency

4.

Bitcoin: Currency or Investment?

Number of pages: 13 Posted: 07 Feb 2015
Dirk G. Baur, Adrian D. Lee and Kihoon Hong
University of Western Australia - Business School, University of Technology, Sydney - Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 194 (35,104)

Abstract:

Bitcoin; digital currency; alternative currency; asset class

Contracts for Dummies? The Performance of Investors in Contracts for Difference

Accounting & Finance, Forthcoming
Number of pages: 42 Posted: 15 Feb 2012 Last Revised: 20 Mar 2013
Adrian D. Lee and Shan Choy
University of Technology, Sydney - Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 169 (144,491)

Abstract:

contracts for difference, CFDs, individual investors, trading costs

Contracts for Dummies? The Performance of Investors in Contracts for Difference

Accounting & Finance, Vol. 54, Issue 3, pp. 965-997, 2014
Number of pages: 33 Posted: 24 Sep 2014
Adrian D. Lee and Shan Choy
University of Technology, Sydney - Finance Discipline Group and University of Technology Sydney (UTS)
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Abstract:

Contracts for difference, Individual investors, Trading costs

6.

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
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 (211,191)
Citation 1

Abstract:

Location, Information Advantages, Portfolio Management, Investment Performance

7.
Downloads 94 (227,736)

A Model of Emulation Funds

FIRN Research Paper
Number of pages: 47 Posted: 19 Sep 2013
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 94 (229,320)

Abstract:

multi-manager, fund-of-funds, transaction costs, emulation funds

A Model of Emulation Funds

Accounting & Finance, Vol. 55, Issue 3, pp. 717-748, 2015
Number of pages: 32 Posted: 03 Sep 2015
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
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Abstract:

Multimanager, Fund‐of‐funds, Transaction costs, Emulation funds

Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

CIFR Paper No. 019/2014
Number of pages: 32 Posted: 23 May 2014 Last Revised: 12 Mar 2015
Zhe Chen, David R. Gallagher and Adrian D. Lee
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 84 (246,783)

Abstract:

Managed funds, portfolio holdings disclosure, copycat funds

Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

Accounting & Finance, Vol. 57, pp. 101-116, 2017
Number of pages: 16 Posted: 05 Apr 2017
Zhe Chen, David R. Gallagher and Adrian D. Lee
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 1 (563,964)
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Abstract:

Managed funds, Portfolio holdings disclosure, Copycat funds

9.

Waiting Costs and Limit Order Book Liquidity: Evidence from the Ex-Dividend Deadline in Australia

Number of pages: 53 Posted: 17 Mar 2011 Last Revised: 17 Mar 2014
Andrew B. Ainsworth and Adrian D. Lee
University of Sydney - Finance Discipline and University of Technology, Sydney - Finance Discipline Group
Downloads 82 (230,936)

Abstract:

order aggressiveness, liquidity, bid-ask spread, ex-dividend day

Does Portfolio Emulation Outperform its Target Funds?

Number of pages: 40 Posted: 01 Sep 2012
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 72 (270,971)

Abstract:

Portfolio emulation, multi-manager, fund-of-funds, offsetting trades, market impact, brokerage

Does Portfolio Emulation Outperform Its Target Funds?

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group

Abstract:

Brokerage, fund-of-funds, market impact, multi-manager, offsetting trades, portfolio emulation

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 59 (301,875)

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
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Abstract:

Estimating the Excess Returns to Housing at a Disaggregated Level: An Application to Sydney 2003-11

Number of pages: 26 Posted: 21 Feb 2012
Daniel Melser and Adrian D. Lee
UNSW Australia Business School, School of Economics and University of Technology, Sydney - Finance Discipline Group
Downloads 44 (346,330)

Abstract:

hedonic regression, housing, excess returns, risk

Estimating the Excess Returns to Housing at a Disaggregated Level: An Application to Sydney 2003-11

Real Estate Economics, Forthcoming
Posted: 07 Feb 2013
Daniel Melser and Adrian D. Lee
UNSW Australia Business School, School of Economics and University of Technology, Sydney - Finance Discipline Group

Abstract:

Hedonic regression, housing, excess returns, risk

Does a Nearby Murder Affect Housing Prices and Rents? The Case of Sydney

Economic Record, Forthcoming
Number of pages: 42 Posted: 27 Mar 2014
Anastasia Klimova and Adrian D. Lee
University of Technology, Sydney - Economics Discipline Group and University of Technology, Sydney - Finance Discipline Group
Downloads 25 (424,766)

Abstract:

Crime, murder, homicide, house prices, rent, hedonic model

Does a Nearby Murder Affect Housing Prices and Rents? The Case of Sydney

Economic Record, Vol. 90, pp. 16-40, 2014
Number of pages: 25 Posted: 03 Jun 2014
Anastasia Klimova and Adrian D. Lee
University of Technology, Sydney - Economics Discipline Group and University of Technology, Sydney - Finance Discipline Group
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Abstract:

14.

Melting Pot or Salad Bowl: Cultural Distance and Housing Investments

28th Australasian Finance and Banking Conference
Number of pages: 57 Posted: 17 Aug 2015 Last Revised: 03 Nov 2016
Maggie Rong Hu and Adrian D. Lee
Chinese University of Hong Kong and University of Technology, Sydney - Finance Discipline Group
Downloads 14 (164,858)

Abstract:

culture distance, housing price, information friction, home culture preference

15.

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 (155,682)

Abstract:

Superannuation funds, investment fees, administration fees, asset allocation

16.

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 (183,297)

Abstract:

Investment fees, Performance evaluation, Superannuation funds

17.

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 (272,449)

Abstract:

18.

Virtual Currencies: Media of Exchange or Speculative Asset?

SWIFT Institute Working Paper No. 2014-007
Number of pages: 33 Posted: 06 Jul 2016
Dirk G. Baur, Kihoon Hong and Adrian D. Lee
University of Western Australia - Business School, University of Technology Sydney (UTS) and University of Technology, Sydney - Finance Discipline Group
Downloads 0 (232,588)

Abstract:

Bitcoin; Virtual Currency; Digital Currency; Alternative Currency; Medium of Exchange; Asset Class; Safe Haven

19.

Estimating the Excess Returns to Housing at a Disaggregated Level: An Application to Sydney 2003–201

Real Estate Economics, Vol. 42, Issue 3, pp. 756-790, 2014
Number of pages: 35 Posted: 28 Aug 2014
Daniel Melser and Adrian D. Lee
Moody's Economy.com and University of Technology, Sydney - Finance Discipline Group
Downloads 0 (548,141)
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Abstract:

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
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
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: