Adrian D. Lee

University of Technology, Sydney - Finance Discipline Group

Post Doctoral Fellow

PO Box 123

UTS Haymarket Campus

Broadway, NSW 2007

Australia

http://https://www.uts.edu.au/staff/adrian.lee

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

Ideas:
“  Behavioral real estate  ”

Scholarly Papers (19)

1.

Bitcoin: Medium of Exchange or Speculative Assets?

Number of pages: 31 Posted: 07 Feb 2015 Last Revised: 26 Sep 2017
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 2,242 (5,715)

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Bitcoin; digital currency; alternative currency; medium of exchange; asset class; safe haven

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 Capital Markets CRC Limited
Downloads 542 (47,829)
Citation 5

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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, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 4 (627,398)
Citation 5
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3.

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, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 400 (70,511)

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Portfolio construction, Fund mimicking strategies

4.

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, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 309 (94,822)
Citation 1

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Individual investors, individual investor trade performance, market efficiency

5.

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 239 (124,152)

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

6.

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 192 (153,173)

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Superannuation funds, investment fees, administration fees, asset allocation

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 192 (153,073)

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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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Contracts for difference, Individual investors, Trading costs

8.

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 167 (173,490)

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Investment fees, Performance evaluation, Superannuation funds

9.

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 Capital Markets CRC Limited
Downloads 108 (244,407)
Citation 1

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Location, Information Advantages, Portfolio Management, Investment Performance

10.
Downloads 102 (254,398)

A Model of Emulation Funds

FIRN Research Paper
Number of pages: 47 Posted: 19 Sep 2013
Acadian Asset Management, The University of Sydney - Discipline of Finance, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 102 (256,038)

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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
Acadian Asset Management, The University of Sydney - Discipline of Finance, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
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Multimanager, Fund‐of‐funds, Transaction costs, Emulation funds

11.

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 99 (259,566)

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

12.

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 95 (266,616)

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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
Acadian Asset Management, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 91 (276,201)

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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
Acadian Asset Management, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 1 (659,556)
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Managed funds, Portfolio holdings disclosure, Copycat funds

Does Portfolio Emulation Outperform its Target Funds?

Number of pages: 40 Posted: 01 Sep 2012
Acadian Asset Management, The University of Sydney - Discipline of Finance, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 82 (295,034)

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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
Acadian Asset Management, The University of Sydney - Discipline of Finance, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group

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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, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 62 (345,707)

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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, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 1 (659,556)
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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 47 (394,320)

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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

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Hedonic regression, housing, excess returns, risk

17.

Melting Pot or Salad Bowl: Cultural Distance and Housing Investments

Number of pages: 67 Posted: 17 Aug 2015 Last Revised: 22 Nov 2017
Yongheng Deng, Maggie Rong Hu and Adrian D. Lee
Wisconsin School of Business, University of Wisconsin-Madison, Chinese University of Hong Kong and University of Technology, Sydney - Finance Discipline Group
Downloads 41 (408,596)

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

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 36 (437,992)

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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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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 (645,310)
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Other Papers (2)

Total Downloads: 291    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, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 222

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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, Capital Markets CRC Limited and University of Technology, Sydney - Finance Discipline Group
Downloads 69

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