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Lorenzo Casavecchia

Personal Details

First Name:Lorenzo
Middle Name:
Last Name:Casavecchia
Suffix:
RePEc Short-ID:pca501
[This author has chosen not to make the email address public]
http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=4015
Terminal Degree:2008 Finance Discipline Group; Business School; University of Technology Sydney (from RePEc Genealogy)

Affiliation

Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/finance/

: +61 2 9514 7777
+61 2 9514 7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:sfutsau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009. "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series 3, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  2. Ron Bird & Lorenzo Casavecchia, 2008. "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series 2, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  3. Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008. "Insights into the Market Impact of Different Investment Styles," Working Paper Series 1, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  4. Ron Bird & Lorenzo Casavecchia, 2006. "Insights into the Momentum Life Cycle for European Stocks," Published Paper Series 2006-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

Articles

  1. Casavecchia, Lorenzo & Ge, Chanyuan, 2019. "Jack of all trades versus specialists: Fund family specialization and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 69-85.
  2. Casavecchia, Lorenzo & Hulley, Hardy, 2018. "Are mutual fund investors paying for noise?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 8-23.
  3. Casavecchia, Lorenzo & Loudon, Geoffrey F. & Wu, Eliza, 2018. "What moves benchmark money market rates? Evidence from the BBSW market," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 137-154.
  4. Lorenzo Casavecchia & Ja Young Suh, 2017. "Managerial incentives for risk-taking and internal capital allocation," Australian Journal of Management, Australian School of Business, vol. 42(3), pages 428-461, August.
  5. Lorenzo Casavecchia, 2016. "Fund managers’ herding and mutual fund governance," International Journal of Managerial Finance, Emerald Group Publishing, vol. 12(3), pages 242-276, June.
  6. Casavecchia, Lorenzo, 2016. "Fund managers' herding and the sensitivity of fund flows to past performance," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 205-221.
  7. Casavecchia, Lorenzo & Tiwari, Ashish, 2016. "Cross trading by investment advisers: Implications for mutual fund performance," Journal of Financial Intermediation, Elsevier, vol. 25(C), pages 99-130.
  8. Cathline Augustiani & Lorenzo Casavecchia & Jack Gray, 2015. "Managerial Sharing, Mutual Fund Connections, and Performance," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 427-455, September.
  9. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011. "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 61-82, May.
  10. Joanne Mar & Ron Bird & Lorenzo Casavecchia & Danny Yeung, 2009. "Fundamental Indexation: An Australian Investigation," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 1-20, June.
  11. Ron Bird & Lorenzo Casavecchia, 2007. "Value enhancement using momentum indicators: the European experience," International Journal of Managerial Finance, Emerald Group Publishing, vol. 3(3), pages 229-262, July.
  12. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009. "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series 3, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

    Cited by:

    1. Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015. "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 1-27, March.

  2. Ron Bird & Lorenzo Casavecchia, 2008. "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series 2, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.

    Cited by:

    1. Giuseppe Galloppo & Giovanni Trovato, 2017. "Fundamental driver of fund style drift," Journal of Asset Management, Palgrave Macmillan, vol. 18(2), pages 99-123, March.
    2. David R Gallagher & Peter A Gardner & Camille H Schmidt, 2015. "Style factor timing: An application to the portfolio holdings of US fund managers," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 318-350, May.

  3. Ron Bird & Lorenzo Casavecchia, 2006. "Insights into the Momentum Life Cycle for European Stocks," Published Paper Series 2006-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Ron Bird & Xiaojun Gao & Danny Yeung, 2017. "Time-series and cross-sectional momentum strategies under alternative implementation strategies," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 230-251, May.
    2. Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions: The Finnish evidence," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(4), pages 400-447, October.
    3. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.

Articles

  1. Lorenzo Casavecchia, 2016. "Fund managers’ herding and mutual fund governance," International Journal of Managerial Finance, Emerald Group Publishing, vol. 12(3), pages 242-276, June.

    Cited by:

    1. Hafinaz Hasniyanti Hassan, 2018. "Conceptual Framework for the Determinants of Mutual Fund Performance in Malaysia," GATR Journals jfbr146, Global Academy of Training and Research (GATR) Enterprise.

  2. Casavecchia, Lorenzo, 2016. "Fund managers' herding and the sensitivity of fund flows to past performance," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 205-221.

    Cited by:

    1. Igor Kravchuk, 2019. "Management of Investment Funds Financial Fragility," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(4), pages 17-32.
    2. Indars, Edgars Rihards & Savin, Aliaksei & Lublóy, Ágnes, 2019. "Herding behaviour in an emerging market: Evidence from the Moscow Exchange," Corvinus Economics Working Papers (CEWP) 2019/01, Corvinus University of Budapest.
    3. Indārs, Edgars Rihards & Savin, Aliaksei & Lublóy, Ágnes, 2019. "Herding behaviour in an emerging market: Evidence from the Moscow Exchange," Emerging Markets Review, Elsevier, vol. 38(C), pages 468-487.

  3. Casavecchia, Lorenzo & Tiwari, Ashish, 2016. "Cross trading by investment advisers: Implications for mutual fund performance," Journal of Financial Intermediation, Elsevier, vol. 25(C), pages 99-130.

    Cited by:

    1. Del Guercio, Diane & Genç, Egemen & Tran, Hai, 2018. "Playing favorites: Conflicts of interest in mutual fund management," Journal of Financial Economics, Elsevier, vol. 128(3), pages 535-557.
    2. Eisele, Alexander & Nefedova, Tamara & Parise, Gianpaolo & Peijnenburg, Kim, 2017. "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," CEPR Discussion Papers 12225, C.E.P.R. Discussion Papers.
    3. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise, 2015. "Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families," Post-Print hal-01458357, HAL.
    4. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise, 2016. "Are star funds really shining? Cross-trading and performance shifting in mutual fund families," BIS Working Papers 577, Bank for International Settlements.
    5. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg, 2018. "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," Post-Print hal-02279289, HAL.
    6. Goncalves-Pinto, Luis & Sotes-Paladino, Juan & Xu, Jing, 2018. "The invisible hand of internal markets in mutual fund families," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 105-124.

  4. Cathline Augustiani & Lorenzo Casavecchia & Jack Gray, 2015. "Managerial Sharing, Mutual Fund Connections, and Performance," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 427-455, September.

    Cited by:

    1. Danilo Delpini & Stefano Battiston & Guido Caldarelli & Massimo Riccaboni, 2018. "The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis," Papers 1801.02205, arXiv.org.
    2. Göricke, Marc-André, 2016. "Do generalists profit from the fund families' specialists? Evidence from mutual fund families offering sector funds," CFR Working Papers 16-09, University of Cologne, Centre for Financial Research (CFR).
    3. Jaydip Sen, 2018. "Stock composition of mutual funds and fund style: a time series decomposition approach towards testing for consistency," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 4(3), pages 235-292.

  5. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011. "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 61-82, May.
    See citations under working paper version above.
  6. Joanne Mar & Ron Bird & Lorenzo Casavecchia & Danny Yeung, 2009. "Fundamental Indexation: An Australian Investigation," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 1-20, June.

    Cited by:

    1. Wenguang Lin & Gary C. Sanger, 2019. "An alternative fundamental weighting scheme based on enterprise value multiple," Journal of Asset Management, Palgrave Macmillan, vol. 20(2), pages 146-156, March.
    2. Anup K. Basu & Brigette Forbes & Henk Berkman, 2014. "Does fundamental indexation lead to better risk-adjusted returns? New evidence from Australian Securities Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(3), pages 699-728, September.
    3. Balatti, Mirco & Brooks, Chris & Kappou, Konstantina, 2017. "Fundamental indexation revisited: New evidence on alpha," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 1-15.
    4. Nipun Agarwal, 2014. "How to obtain high returns with lower volatility in emerging markets?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-16, December.
    5. Lajbcygier, Paul & Sojka, Jeremy, 2015. "The viability of alternative indexation when including all costs," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 109-141.

  7. Ron Bird & Lorenzo Casavecchia, 2007. "Value enhancement using momentum indicators: the European experience," International Journal of Managerial Finance, Emerald Group Publishing, vol. 3(3), pages 229-262, July.

    Cited by:

    1. Klaus Grobys & Topi Huhta-Halkola, 2019. "Combining value and momentum: evidence from the Nordic equity market," Applied Economics, Taylor & Francis Journals, vol. 51(26), pages 2872-2884, June.
    2. Tanveer Ahmad; Syed Muhammad Amir Shah, 2017. "The Value-Growth Indicators and Value Premium: Evidence from Pakistan Stock Exchange," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 11(2), pages 124-139, Fall.
    3. Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions: The Finnish evidence," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(4), pages 400-447, October.
    4. Eero J. Pätäri & Timo H. Leivo & Janne Hulkkonen & J. V. Samuli Honkapuro, 2018. "Enhancement of value investing strategies based on financial statement variables: the German evidence," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 813-845, October.
    5. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
    6. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.
    7. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
    8. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    9. Martin Wichlinski & Rajendra Rajaram, 2019. "The Use of RONA/WACC as a Proxy for Investment Quality," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 177-185.
    10. Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(3), pages 223-246, August.
    11. Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008. "Insights into the Market Impact of Different Investment Styles," Working Paper Series 1, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
    12. Eero J. Pätäri & Ville Karell & Pasi Luukka, 2016. "Can size-, industry-, and leverage-adjustment of valuation ratios benefit the value investor?," International Journal of Business Innovation and Research, Inderscience Enterprises Ltd, vol. 11(1), pages 76-109.
    13. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.

  8. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.

    Cited by:

    1. Deven Bathia & Don Bredin & Dirk Nitzsche, 2016. "International Sentiment Spillovers in Equity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 332-359, October.
    2. Joanne Mar & Ron Bird & Lorenzo Casavecchia & Danny Yeung, 2009. "Fundamental Indexation: An Australian Investigation," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 1-20, June.
    3. Tanveer Ahmad; Syed Muhammad Amir Shah, 2017. "The Value-Growth Indicators and Value Premium: Evidence from Pakistan Stock Exchange," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 11(2), pages 124-139, Fall.
    4. David R Gallagher & Peter A Gardner & Camille H Schmidt & Terry S Walter, 2014. "Quality investing in an Australian context," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 615-643, November.
    5. Deven Bathia & Don Bredin, 2013. "An examination of investor sentiment effect on G7 stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 909-937, October.
    6. Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions: The Finnish evidence," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(4), pages 400-447, October.
    7. Ron Bird & Lorenzo Casavecchia, 2008. "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series 2, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
    8. David R. Gallagher & Peter A. Gardner & Camille H. Schmidt & Terry S. Walter, 2014. "Portfolio Quality and Mutual Fund Performance," International Review of Finance, International Review of Finance Ltd., vol. 14(4), pages 485-521, December.
    9. Chau Duong & Gioia Pescetto & Daniel Santamaria, 2014. "How value-glamour investors use financial information: UK evidence of investors' confirmation bias," The European Journal of Finance, Taylor & Francis Journals, vol. 20(6), pages 524-549, June.
    10. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
    11. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    12. Edward M Feasel & Nobuyuki Kanazawa, 2013. "Sentiment toward Trading Partners and International Trade," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(3), pages 309-327.
    13. Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(3), pages 223-246, August.
    14. Eero J. Pätäri & Ville Karell & Pasi Luukka, 2016. "Can size-, industry-, and leverage-adjustment of valuation ratios benefit the value investor?," International Journal of Business Innovation and Research, Inderscience Enterprises Ltd, vol. 11(1), pages 76-109.
    15. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
    16. David R Gallagher & Peter A Gardner & Camille H Schmidt, 2015. "Style factor timing: An application to the portfolio holdings of US fund managers," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 318-350, May.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (1) 2009-01-24

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