ORCID Profile
0000-0001-5984-8688
Current Organisation
Deakin University - Melbourne Burwood Campus
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Publisher: SAGE Publications
Date: 23-11-2022
DOI: 10.1177/03128962221137775
Abstract: Superannuation fees have come under public scrutiny in recent years with the belief they are too high. We examine the determinants of fees and their relationship with fund performance. Superannuation funds with higher investment fees have higher allocations to asset classes that trade in more complex markets. For-profit retail funds charge both higher investment and administration fees than other funds. Funds with higher investment fees do not generate higher returns than the least expensive funds. These findings suggest that superannuation members may not earn higher after-fee risk-adjusted returns by holding funds with higher fees. G11
Publisher: Elsevier BV
Date: 2020
DOI: 10.2139/SSRN.3589141
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
Date: 03-2020
Abstract: This paper examines how sentiment affects homebuyers’ housing transaction decisions with a focus on auction sales. Utilizing housing transaction data in Sydney from 2000 to 2014, we find that transaction prices are significantly higher for auction sales compared with private sales, consistent with the notion of a “winner’s curse.” Four sentiment proxies, including three weather-based sentiment proxies and a survey-based sentiment index, are used to derive novel measures of sentiment, revealing that higher sentiment is associated with higher transaction prices, particularly for auction sales. Moreover, sentiment boosts sale prices particularly when the housing market is in boom however, investors are not more prone to sentiment bias than are owner-occupiers. Sentiment exhibits an asymmetric effect in that low sentiment d ens price to a greater extent compared with the price-boosting effect of high sentiment. Our result is robust to using national sport events as sentiment shocks, selection bias, and participation constraints. Potential mechanisms include present-biased preferences and sentiment-related projection bias. Overall, our evidence sheds light on the role of sentiment in housing market decisions. This paper was accepted by Tyler Shumway, finance.
Publisher: Elsevier BV
Date: 10-2015
Publisher: SAGE Publications
Date: 03-2008
DOI: 10.1177/031289620803200307
Abstract: We examine the relation of active equity fund managers' location proximity to a stock's headquarter and fund managers' stock selection skill and investment behaviour using a representative s le of Australian institutional equity funds. Contrary to the findings of much international research, our study reveals evidence which is inconsistent with a location advantage for Melbourne and Sydney active equity funds. Both Melbourne and Sydney fund managers overweight Melbourne stocks, exhibit skill in picking Sydney stocks and avoid poor performing Melbourne and Sydney stocks. In addition, we find no evidence of word-of-mouth trading effects in Melbourne or Sydney funds. Taken together, this suggests information asymmetries arising from location are weak for Melbourne and Sydney funds.
Publisher: Elsevier BV
Date: 09-2014
Publisher: Elsevier BV
Date: 07-2020
Publisher: Springer Science and Business Media LLC
Date: 16-03-2021
Publisher: Elsevier BV
Date: 11-2021
Publisher: Wiley
Date: 06-2021
Publisher: Wiley
Date: 02-06-2014
Publisher: Wiley
Date: 08-2008
Publisher: SAGE Publications
Date: 06-2009
DOI: 10.1177/031289620903400106
Abstract: This study examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active fund managers. When considering a large range of strategies incorporating fund portfolio holdings information, the top performing strategies are robust to data snooping and are both statistically significant and economically significant when incorporating transaction costs. These strategies are short term in nature, with statistically significant performance lasting up to nine months. When we account for look-ahead bias in the formation of a strategy, we find statistically significant alpha when following the best performing strategy holding 20 stocks or more in the previous month.
Publisher: Wiley
Date: 20-04-2017
DOI: 10.1111/ACFI.12129
Publisher: Elsevier BV
Date: 2022
Publisher: Emerald
Date: 05-01-2023
DOI: 10.1108/IJCHM-02-2022-0221
Abstract: Taking a global perspective, this paper aims to examine the impact of COVID-19 on Airbnb booking activities through three critical perspectives – the initial Wuhan lockdown, local COVID-19 cases and local lockdowns. Using Airbnb reviews and cancellations as proxies for Airbnb bookings on a global scale, econometrics was used to examine the impacts of the initial Wuhan lockdown, local COVID-19 cases and local lockdowns on Airbnb bookings. The authors find that local lockdowns result in a 57.8% fall in global booking activities. Every doubling of newly infected cases is associated with a 4.16% fall in bookings. The sensitivity of bookings to COVID-19 decreases with geographic distance to Wuhan and increases with government stringency of lockdown policies and human mobility within a market. The empirical evidence from this research can provide governments with insights into more accurate assessment of the financial loss of Airbnb hosts so that proper support can be offered based on the financial needs because of due to sudden lockdown. This research contributes to new knowledge on peer-to-peer accommodation during a time of crisis and provides much needed global evidence to understand the impacts of COVID-19 on the accommodation industry.
Publisher: Wiley
Date: 07-05-2014
Publisher: SAGE Publications
Date: 12-10-2013
Abstract: An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one manager may buy a stock for her fund while another manager sells the same stock at approximately the same time for his fund). While lowering transaction costs is a key benefit of an emulation strategy, there has been little research that compares the reduction in transaction costs with the opportunity costs of delaying trade. Using reported equity trades for a large Australian pension fund, we simulate the consequences of an emulation strategy. We find that simulated emulation trades underperform those trades made by the employed (or target) fund over our s le period. That is, the opportunity cost of delayed trading significantly outweighs transaction cost reductions. Overall, we do not find strong evidence to support emulation from a cost–benefit perspective before management fees and taxes.
Publisher: Elsevier BV
Date: 04-2019
Publisher: Wiley
Date: 07-2016
DOI: 10.1111/IRFI.12092
Publisher: Cambridge University Press (CUP)
Date: 04-2014
DOI: 10.1017/S0022109014000349
Abstract: We study the informativeness of trades via discount and full-service retail brokers. We find that trades via full-service retail brokers are statistically and economically more informative than are trades via discount retail brokers. This finding holds in every year over the 12-year s le period and in various subs les. We also find that past returns, volatility, and news announcements positively relate to the net volume of discount retail brokers, but these variables are unrelated to the net volume of full-service retail brokers. Our results suggest that broker type selection bias is an important consideration in studying in idual investors’ trades.
Publisher: Informa UK Limited
Date: 29-12-2021
Publisher: Elsevier BV
Date: 05-2017
Publisher: Wiley
Date: 25-03-2014
DOI: 10.1111/ACFI.12018
No related grants have been discovered for Adrian Lee.