Paul Lajbcygier

Monash University - Department of Banking & Finance

Professor

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

20

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3,757

CITATIONS
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Top 47,382

in Total Papers Citations

9

Scholarly Papers (20)

1.

Passive Hedge Funds

Number of pages: 42 Posted: 12 Aug 2015 Last Revised: 15 Jul 2016
Mikhail Tupitsyn and Paul Lajbcygier
Monash Business School and Monash University - Department of Banking & Finance
Downloads 1,934 (7,572)

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Hedge Funds, Generalized Additive Models, Passive

2.

The Gap between Desert and Entitlement: Performance Fees in Hedge Funds

Number of pages: 51 Posted: 01 Jul 2014 Last Revised: 31 Jul 2015
Joe Rich and Paul Lajbcygier
Monash University - Department of Accounting and Monash University - Department of Banking & Finance
Downloads 253 (120,151)

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3.

The Incentive Fee Hypothesis: Do Large Incentive Fees Provide a Disincentive for Asset Hoarding Amongst Fund Managers?

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 42 Posted: 01 Oct 2009 Last Revised: 24 Aug 2011
David Ghijben and Paul Lajbcygier
Monash University - Department of Accounting and Monash University - Department of Banking & Finance
Downloads 174 (171,438)
Citation 1

Abstract:

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Hedge fund, fees, compensation structure, agency costs, managed futures

Going Negative: What to Do with Negative Book Equity Stocks

NYU Working Paper No. 2451/26348
Number of pages: 17 Posted: 03 Nov 2008
Stephen J. Brown, Paul Lajbcygier and Bob Li
New York University - Stern School of Business, Monash University - Department of Banking & Finance and affiliation not provided to SSRN
Downloads 146 (199,276)
Citation 1

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Going Negative: What to do with Negative Book Equity Stocks

Posted: 21 May 2019
Stephen J. Brown, Paul Lajbcygier and Bob Li
New York University - Stern School of Business, Monash University - Department of Banking & Finance and affiliation not provided to SSRN

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Negative book value, value factor, generalized style classification

5.

Measuring Immediate Price Impact Using Nonparametric Models

Number of pages: 61 Posted: 25 Jan 2015
Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 143 (202,190)

Abstract:

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Market Impact, Indexing, High Frequency Trading, Nonparametric, Generalized Additive Models

6.

Estimating the Cost of Capital with Basis Assets

Number of pages: 33 Posted: 17 Dec 2011 Last Revised: 21 Apr 2012
Stephen J. Brown, Paul Lajbcygier and Woon Weng Wong
New York University - Stern School of Business, Monash University - Department of Banking & Finance and Monash University - Department of Econometrics & Business Statistics
Downloads 123 (227,653)

Abstract:

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cost of capital, risk equivalent classes, industry, basis assets

7.

Soft Clustering for Funds Management Style Analysis: Out-of-Sample Predictability

Number of pages: 8 Posted: 13 Aug 2008
Paul Lajbcygier and Asjad Yahya
Monash University - Department of Banking & Finance and Monash University - Department of Accounting
Downloads 123 (227,653)

Abstract:

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mutual funds, soft clustering

8.

Choice Among Alternative Benchmarks: An Asset Pricing Approach

Number of pages: 25 Posted: 19 Apr 2014 Last Revised: 30 Sep 2014
Stephen J. Brown, John C. Handley and Paul Lajbcygier
New York University - Stern School of Business, University of Melbourne - Department of Finance and Monash University - Department of Banking & Finance
Downloads 114 (240,757)

Abstract:

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asset pricing, risk classes, industry benchmarks, basis assets

9.

Is Fundamental Indexation Able to Time the Market? Evidence from the Dow Jones Industrial Average & the Russell 1000

Number of pages: 46 Posted: 09 Jul 2014 Last Revised: 31 Oct 2014
Doris Chen, Michael J. Dempsey and Paul Lajbcygier
Monash University, TDT University and Monash University - Department of Banking & Finance
Downloads 107 (251,827)
Citation 1

Abstract:

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Indexing; Market Capitalized Weighted Index; Fundamental Weighted Index; Equal Weighted Index; Market timing.

10.

Factors Affecting the Birth and Fund Flows of Commodity Trading Advisors

Number of pages: 31 Posted: 02 Apr 2010 Last Revised: 12 Sep 2011
Monash University - Department of Accounting, University of Queensland, Monash University - Department of Banking & Finance and T.A. PAI Management Institute, Finance Area
Downloads 100 (263,796)

Abstract:

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11.

A Comparison of the Forecasting Ability of Immediate Price Impact Models

Number of pages: 37 Posted: 28 Oct 2014 Last Revised: 22 Sep 2015
Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 99 (265,551)

Abstract:

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Market Impact, Trading Costs, Out-of-sample forecasting

The Information Content of Special Orders

Pacific-Basin Finance Journal, Forthcoming, FIRN Research Paper No. 2786185
Number of pages: 37 Posted: 05 Jun 2016
Huu Nhan Duong, Paul Lajbcygier and Van Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance and Department of Economics and Finance, La Trobe University
Downloads 89 (286,700)

Abstract:

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Fill-and-Kill orders, All-or-Nothing orders, Institutional Investors, Price Impact, High Frequency Trading

The Information Content of Special Orders

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 34 Posted: 01 Feb 2016
Huu Nhan Duong, Paul Lajbcygier and Van Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance and Department of Economics and Finance, La Trobe University
Downloads 4 (646,980)

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Fill-and-Kill orders, All-or-Nothing orders, Institutional Investors, Price Impact, High Frequency Trading

13.

A Star is Born: A New International Investment Style for US Mutual Funds

Number of pages: 36 Posted: 05 Aug 2008 Last Revised: 14 Nov 2008
Paul Lajbcygier, Jinling Xu and Jason Choo
Monash University - Department of Banking & Finance, Monash University - Department of Accounting and Monash University
Downloads 87 (288,488)

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Investment Style, US mutual funds, k-means clustering

14.

The Viability of Alternative Indexation When Including All Costs

Number of pages: 80 Posted: 21 Aug 2014 Last Revised: 28 Dec 2014
Paul Lajbcygier and Jeremy Sojka
Monash University - Department of Banking & Finance and Monash University - Department of Accounting
Downloads 77 (310,540)

Abstract:

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Indexing, Equal Weight, Fundamental, Market Impact, Transaction Costs

Factors Affecting the Birth and Fund Flows of CTAS

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 28 Posted: 03 Oct 2011
Monash University - Department of Accounting, University of Queensland, Monash University - Department of Banking & Finance and T.A. PAI Management Institute, Finance Area
Downloads 58 (366,132)

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Commodity trading advisors, fund flows, flow–performance relation, smart money effect

Factors Affecting the Birth and Fund Flows of CTAs

Australian Journal of Management, Vol. 41, No. 2, 2016
Posted: 04 May 2016
Monash University - Department of Accounting, University of Queensland, T.A. PAI Management Institute, Finance Area, Monash Business School and Monash University - Department of Banking & Finance

Abstract:

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Commodity trading advisors, flow-performance relation, fund flows, smart money effect

16.

Detecting Novel Option Model Pricing Misspecification Using Visual Exploratory Data Analysis

Number of pages: 33 Posted: 06 Aug 2008
Paul Lajbcygier
Monash University - Department of Banking & Finance
Downloads 40 (422,369)

Abstract:

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options, exploratory data analysis

17.

Have April 2000 Changes in Japanese Tax Law Been Effective?

Number of pages: 48 Posted: 06 Aug 2008
Paul Lajbcygier and Mei Ong
Monash University - Department of Banking & Finance and Monash University - Clayton School of IT
Downloads 36 (438,619)

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Funds management, style, clustering, Japanese mutual funds

18.

The Effect of Anonymity on Price Efficiency: Evidence from the Removal of Broker Identities

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 33 Posted: 13 Jul 2018
Huu Nhan Duong, Paul Lajbcygier, Jerry Lu and Van Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance, Monash University and Department of Economics and Finance, La Trobe University
Downloads 28 (474,980)

Abstract:

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Broker Identities, Price Discovery, Anonymity

19.

High-frequency Trading around Reserve Bank of Australia (RBA) Announcements

2019 Financial Markets & Corporate Governance Conference
Number of pages: 33 Posted: 23 Jan 2019 Last Revised: 18 Apr 2019
Vinh Duc Anh Hua, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Banking & Finance, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 22 (507,802)

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High Frequency Trading, RBA, ASX, Price Impact, Limit Order Book

20.

Imputation Credits and Equity Returns

Economic Record, Vol. 88, Issue 283, pp. 476-494, 2012
Number of pages: 19 Posted: 28 Nov 2012
Paul Lajbcygier and Simon M. Wheatley
Monash University - Department of Banking & Finance and University of Melbourne - Department of Finance
Downloads 0 (667,289)
Citation 2
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G110, G120, G150, G180