Details about Don (Tissa) U. A. Galagedera

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

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

2008

2. 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 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) View citations (4) (2010)
3. Testing Conditional Asset Pricing Models: An Emerging Market Perspective
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (7)
   See also Journal Article Testing conditional asset pricing models: An emerging market perspective, Journal of International Money and Finance, Elsevier (2010) View citations (15) (2010)

2007

4. Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets
   MPRA Paper, University Library of Munich, Germany
5. 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 View citations (1)

2005

6. 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 View citations (1)

2004

7. A SURVEY ON INVESTMENT PERFORMANCE APPRAISAL METHODS WITH SPECIAL REFERENCE TO DATA ENVELOPMENT ANALYSIS
   Finance, University Library of Munich, Germany View citations (4)
8. A survey on risk-return analysis
   Finance, University Library of Munich, Germany
9. Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
   Finance, University Library of Munich, Germany View citations (1)
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2003) View citations (1)
10. Beta Risk and Regime Shift in Market Volatility
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
    Also in Finance, University Library of Munich, Germany (2004) View citations (1)
11. 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 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) View citations (5) (2005)
12. Performance of Indian commercial banks (1995-2002): an application of data envelopment analysis and Malmquist productivity index
    Finance, University Library of Munich, Germany View citations (1)
13. Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data
    Finance, University Library of Munich, Germany
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004)

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
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

2021

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

2020

4. Do mutual fund managers earn their fees? New measures for performance appraisal
   European Journal of Operational Research, 2020, 287, (2), 653-667 View citations (5)

2019

5. 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 View citations (14)

2018

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

2016

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

2015

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

2014

11. 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

2013

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

2012

13. A wavelet based investigation of long memory in stock returns
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (7), 2330-2341 View citations (14)
14. 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 View citations (40)
15. 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 View citations (6)
16. Effect of exchange rate return on volatility spill-over across trading regions
    Japan and the World Economy, 2012, 24, (4), 254-265 View citations (7)
17. Recent trends in relative performance of global equity markets
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (4), 834-854 View citations (3)

2010

18. Association between environmental factors and equity market performance: evidence from a nonparametric frontier method
    Financial Markets and Portfolio Management, 2010, 24, (3), 245-269 View citations (3)
19. Multivariate tests of asset pricing: simulation evidence from an emerging market
    Applied Financial Economics, 2010, 20, (5), 381-395 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) View citations (4) (2008)
20. Testing conditional asset pricing models: An emerging market perspective
    Journal of International Money and Finance, 2010, 29, (5), 897-918 View citations (15)
    See also Working Paper Testing Conditional Asset Pricing Models: An Emerging Market Perspective, Monash Econometrics and Business Statistics Working Papers (2008) View citations (7) (2008)
21. Wavelet-based Fuzzy Clustering of Time Series
    Journal of Classification, 2010, 27, (2), 231-275 View citations (13)

2009

22. 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 View citations (3)
23. Economic significance of downside risk in developed and emerging markets
    Applied Economics Letters, 2009, 16, (16), 1627-1632 View citations (7)
24. Modeling Time-Varying Downside Risk
    The IUP Journal of Financial Economics, 2009, VII, (1), 36-51 View citations (1)

2008

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

2007

27. An alternative perspective on the relationship between downside beta and CAPM beta
    Emerging Markets Review, 2007, 8, (1), 4-19 View citations (14)
28. 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 View citations (16)
29. 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

2005

30. 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 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) View citations (6) (2004)

2003

31. Experimental evidence on robustness of data envelopment analysis
    Journal of the Operational Research Society, 2003, 54, (6), 654-660 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

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

2011

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