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...

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 sample of Australian institutional equity funds. Contrary to the findings of much international research,...

This study proposes methodological adjustments to the widely adopted performance benchmarking methodology of Daniel "et al". (1997) as a means of improving the precision of alpha measurement for active equity fund managers. We achieve this by considering the monthly updating of characteristic...

We measure the impact of murders on prices and rents of homes in Sydney. We find that housing prices fall by 3.9% for homes within 0.2 miles of the murder, in the year following the murder, and weaker results in the second year after a murder. We do not find any effects of murders on rents....

We measure the impact of murders on prices and rents of homes in Sydney. We find that housing prices fall by 3.9% for homes within 0.2 miles of the murder, in the year following the murder, and weaker results in the second year after a murder. We do not find any effects of murders on rents....

In theoretical models of limit order books populated with liquidity traders there is a link between order aggressiveness, spreads, and the cost of waiting for execution. We directly test these models using an experimental setting where waiting time is important for traders, namely the...

type="main" <p>The returns to housing are particularly important because this asset class makes up such a large fraction of household wealth. Yet they are not straightforward to calculate given both the heterogeneity in homes and the fact they sell only infrequently. We outline a methodology for...</p>

type="main" xml:id="ecor12118-abs-0001" <p>We measure the impact of murders on prices and rents of homes in Sydney. We find that housing prices fall by 3.9 per cent for homes within 0.2 miles of the murder in the year following the murder, and weaker results in the second year after a murder. We...</p>