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Details about Don (Tissa) U. A. Galagedera

Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Don (Tissa) U. A. Galagedera.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: pga196


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Working Papers

2009

  1. An analytical derivation of the relation between idiosyncratic volatility and expected stock return
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2008

  1. Multivariate tests of asset pricing: Simulation evidence from an emerging market
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article Multivariate tests of asset pricing: simulation evidence from an emerging market, Applied Financial Economics, Taylor & Francis Journals (2010) Downloads View citations (4) (2010)
  2. Testing Conditional Asset Pricing Models: An Emerging Market Perspective
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (7)
    See also Journal Article Testing conditional asset pricing models: An emerging market perspective, Journal of International Money and Finance, Elsevier (2010) Downloads View citations (15) (2010)

2007

  1. Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2005

  1. Is systematic downside beta risk really priced? Evidence in emerging market data
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)

2004

  1. A SURVEY ON INVESTMENT PERFORMANCE APPRAISAL METHODS WITH SPECIAL REFERENCE TO DATA ENVELOPMENT ANALYSIS
    Finance, University Library of Munich, Germany Downloads View citations (4)
  2. A survey on risk-return analysis
    Finance, University Library of Munich, Germany Downloads
  3. Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
    Finance, University Library of Munich, Germany Downloads View citations (1)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2003) Downloads View citations (1)
  4. Beta Risk and Regime Shift in Market Volatility
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (2)
    Also in Finance, University Library of Munich, Germany (2004) Downloads View citations (1)
  5. Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (6)
    See also Journal Article MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2005) Downloads View citations (5) (2005)
  6. Performance of Indian commercial banks (1995-2002): an application of data envelopment analysis and Malmquist productivity index
    Finance, University Library of Munich, Germany Downloads View citations (1)
  7. Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data
    Finance, University Library of Munich, Germany Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) Downloads

Journal Articles

2024

  1. Assessing Degree of Overall Prospect for Merger and Acquisition of Managed Funds: A Relative Performance Perspective
    SAGE Open, 2024, 14, (2), 21582440241256953 Downloads
  2. Planning for potential increases in disbursements and risk of managed funds conditional on desired short-term performance levels
    Applied Economics, 2024, 56, (28), 3385-3400 Downloads

2021

  1. Do superannuation funds manage disbursements and risk efficiently in generating returns? New evidence
    Applied Economics, 2021, 53, (34), 3931-3947 Downloads View citations (1)

2020

  1. Do mutual fund managers earn their fees? New measures for performance appraisal
    European Journal of Operational Research, 2020, 287, (2), 653-667 Downloads View citations (4)

2019

  1. Modelling social responsibility in mutual fund performance appraisal: A two-stage data envelopment analysis model with non-discretionary first stage output
    European Journal of Operational Research, 2019, 273, (1), 376-389 Downloads View citations (14)

2018

  1. A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual funds
    Omega, 2018, 77, (C), 168-179 Downloads View citations (26)
  2. Modelling superannuation fund management function as a two-stage process for overall and stage-level performance appraisal
    Applied Economics, 2018, 50, (22), 2439-2458 Downloads View citations (2)

2016

  1. Modeling leakage in two-stage DEA models: An application to US mutual fund families
    Omega, 2016, 61, (C), 62-77 Downloads View citations (17)

2015

  1. Benchmarking superannuation funds based on relative performance
    Applied Economics, 2015, 47, (28), 2959-2973 Downloads View citations (2)
  2. Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective
    Global Economic Review, 2015, 44, (1), 74-100 Downloads

2014

  1. Modeling risk concerns and returns preferences in performance appraisal: An application to global equity markets
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 400-416 Downloads

2013

  1. A new perspective of equity market performance
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 333-357 Downloads View citations (6)

2012

  1. A wavelet based investigation of long memory in stock returns
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (7), 2330-2341 Downloads View citations (14)
  2. Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition
    Journal of Banking & Finance, 2012, 36, (12), 3302-3317 Downloads View citations (40)
  3. Conditional Relation between Systematic Risk and Returns in the Conventional and Downside Frameworks: Evidence from the Indonesian Market
    Journal of Emerging Market Finance, 2012, 11, (3), 271-300 Downloads View citations (6)
  4. Effect of exchange rate return on volatility spill-over across trading regions
    Japan and the World Economy, 2012, 24, (4), 254-265 Downloads View citations (7)
  5. Recent trends in relative performance of global equity markets
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (4), 834-854 Downloads View citations (3)

2010

  1. Association between environmental factors and equity market performance: evidence from a nonparametric frontier method
    Financial Markets and Portfolio Management, 2010, 24, (3), 245-269 Downloads View citations (3)
  2. Multivariate tests of asset pricing: simulation evidence from an emerging market
    Applied Financial Economics, 2010, 20, (5), 381-395 Downloads View citations (4)
    See also Working Paper Multivariate tests of asset pricing: Simulation evidence from an emerging market, Monash Econometrics and Business Statistics Working Papers (2008) Downloads View citations (4) (2008)
  3. Testing conditional asset pricing models: An emerging market perspective
    Journal of International Money and Finance, 2010, 29, (5), 897-918 Downloads View citations (15)
    See also Working Paper Testing Conditional Asset Pricing Models: An Emerging Market Perspective, Monash Econometrics and Business Statistics Working Papers (2008) Downloads View citations (7) (2008)
  4. Wavelet-based Fuzzy Clustering of Time Series
    Journal of Classification, 2010, 27, (2), 231-275 Downloads View citations (12)

2009

  1. AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (03), 341-358 Downloads View citations (3)
  2. Economic significance of downside risk in developed and emerging markets
    Applied Economics Letters, 2009, 16, (16), 1627-1632 Downloads View citations (7)
  3. Modeling Time-Varying Downside Risk
    The IUP Journal of Financial Economics, 2009, VII, (1), 36-51 View citations (1)

2008

  1. Relationship between downside risk and return: new evidence through a multiscaling approach
    Applied Financial Economics, 2008, 18, (20), 1623-1633 Downloads View citations (2)
  2. Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
    Quantitative Finance, 2008, 8, (2), 201-215 Downloads View citations (20)

2007

  1. An alternative perspective on the relationship between downside beta and CAPM beta
    Emerging Markets Review, 2007, 8, (1), 4-19 Downloads View citations (13)
  2. Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data
    Journal of Multinational Financial Management, 2007, 17, (3), 214-230 Downloads View citations (16)
  3. Relationship between systematic-risk measured in the second-order and third-order co-moments in the downside framework
    Applied Financial Economics Letters, 2007, 3, (3), 147-153 Downloads

2005

  1. MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (01), 75-95 Downloads View citations (5)
    See also Working Paper Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions, Monash Econometrics and Business Statistics Working Papers (2004) Downloads View citations (6) (2004)

2003

  1. Experimental evidence on robustness of data envelopment analysis
    Journal of the Operational Research Society, 2003, 54, (6), 654-660 Downloads View citations (9)

Chapters

2021

  1. Value Extracting in Relative Performance Appraisal with Network DEA: An Application to U.S. Equity Mutual Funds
    Springer

2016

  1. Mutual Fund Industry Performance: A Network Data Envelopment Analysis Approach
    Springer View citations (5)

2011

  1. Testing the Lower Partial Moment Asset-Pricing Models in Emerging Markets
    Palgrave Macmillan
 
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