Browsing by Author "Casavecchia, Lorenzo"

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Browsing by Author "Casavecchia, Lorenzo"

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  • Casavecchia, Lorenzo; Hulley, Hardy (Financial Management Association, 2010)
    We identify for the first time the crucial role played by idiosyncratic risk as a determinant of performance persistence, flow-performance sensitivity and management fees charged to fund shareholders. Using a sample of ...
  • Mar, Joanne; Casavecchia, Lorenzo; Yeung, Danny; Professor Ronald Geoffrey Bird, Ronald (Australian Graduate School of Management, 2009)
    Capitalisation-weighted indexes provide the basis for passive investment strategies designed to capture market performance. However, these cap-weighted indexes are claimed to be sub-optimal because of their tendency to ...
  • Casavecchia, Lorenzo; Pellizzari, Paolo; Woolley, Paul; Professor Ronald Geoffrey Bird, Ronald (Springer, 2011)
    One of the necessary features of markets to produce efficient pricing is competition between information-based investors who quickly impound new information into price. However, a significant proportion of funds invested ...
  • Casavecchia, Lorenzo; Professor Ronald Geoffrey Bird, Ronald (Routledge, 2007)
    The well-documented market underperformance of the majority of value and growth stocks over a 12-month holding period reflects that traditional valuation metrics might tell us whether a stock is potentially cheap or ...
  • Casavecchia, Lorenzo; Professor Ronald Geoffrey Bird, Ronald (Emerald Group Publishing, 2007)
    Abstract: Purpose The purpose of this research is to study the extent to which various price and earnings momentum measures can be used to enhance portfolio performance by better timing entry into value stocks (and ...