Adrian Lee is a Senior Lecturer in the Finance Discipline at the University of Technology, Sydney. His research interests include asset pricing, individual investors, funds management, real estate and market microstructure. He has published in leading finance and field journals including Journal of Financial and Quantitative Analysis, Journal of Financial Markets and Real Estate Economics.
Dr Lee also holds regular SAS workshops for research students and staff at UTS where he teaches SAS programming for empirical research at the beginner and intermediate levels. He holds a doctorate in Finance from the University of New South Wales and a Bachelor of Commerce (Hons) from the University of New South Wales. Previously he was a research analyst at the University of New South Wales' Centre for Research in Finance (now part of SIRCA).
Can supervise: YES
Asset pricing, individual investors, funds management, real estate and market microstructure.
Personal Wealth Management
© 2018 AFAANZ. In a seminal study, Elton and Gruber (1970) argue that ex-dividend day pricing can be used to infer marginal tax rates of shareholders. We examine ex-dividend day pricing for individual firms and ask whether their CFOs could use the history of a firm's ex-dividend price-drop ratios to infer reasonable estimates of shareholders' marginal tax rates. We use TAQ data for 1,124 US firms that have at least 30 ex-dividend days during the period August 1993 to October 2012. Our results show that ex-dividend day pricing is so noisy as to prohibit sensible estimates of shareholders' marginal tax rates.
Baur, D, Hong, K & Lee, AD 2018, 'Bitcoin: Medium of Exchange or Speculative Assets?', Journal of International Financial Markets, Institutions and Money, vol. 54, pp. 177-189.View/Download from: UTS OPUS or Publisher's site
Chen, Z, Gallagher, DR & Lee, AD 2017, 'Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure', Accounting and Finance, vol. 57, no. 1, pp. 101-116.View/Download from: UTS OPUS or Publisher's site
© 2016 AFAANZ.This study examines a number of portfolio disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that periodic portfolio disclosure tends to underestimate true excess performance as well as idiosyncratic risk in top-quartile fund managers, with longer inter-reporting intervals tending to result in greater differences. 'Copycat funds' following the disclosed holdings of top-tier managers significantly underperform the underlying fund, while copycats following bottom-tier managers significantly outperform the underlying fund. Our findings suggest that periodic reporting at monthly intervals or longer would not affect fund alpha generation.
Fong, KYL, Foster, FD, Gallagher, DR & Lee, AD 2016, 'How has the Relevance of Institutional Brokerage Changed?', International Review of Finance, vol. 16, no. 4, pp. 499-524.View/Download from: UTS OPUS or Publisher's site
Institutional brokerage rates have been in decline. We investigate whether this reduction has coincided with a fall in benefits provided by brokers to institutional asset managers. We use trade packages from both active and passive equity funds from 1995 to 2001 and active equity funds from 2002 to 2010. We find that later period active funds recoup a combined 1.75 basis point benefit (from price impact cost recovery and short-term alpha) per basis point of brokerage cost. Later period active investors saw improved trade price impact and shorter-term alpha net benefits, relative to earlier period active investors. These results are robust after controlling for trade characteristics and cross-sectional variation over time. Our findings suggest that brokers innovate to provide valuable services in the subsequent, lower brokerage environment.
Chai, EFL, Lee, AD & Wang, J 2015, 'Global information distribution in the gold OTC markets', International Review of Financial Analysis, vol. 41, pp. 206-217.View/Download from: UTS OPUS or Publisher's site
© 2015 Elsevier Inc. This paper aims to estimate the global information distribution in the OTC gold market. Using the two-scale realized variance as a proxy for information flow, we estimate the information shares of Asia, Europe, London/New York and the United States, with London/New York covering the two-hour overlapping trading in London afternoon and New York morning. We find that over the sample period of 1996 to 2012, the average daily information shares are 17%, 31%, 22%, and 30% for Asia, Europe, London/New York and the U.S., respectively. On a per-hour basis, the information share of London/New York is over two and half times of those of the rest of Europe and the U.S., and over five times of the information share of Asia. Despite doubling its share of OTC trading, Asia's information share actually declined from about 20% in the late 1990s to around 15% in 2009-2012, with the opposite trend for the London/New York market. Private information flow, measured by the volatility impact of unexpected order flows, has a flatter distribution across Asia, Europe, and the U.S., possibly due to the presence of the same large gold dealers in different markets. The declining information share of Asia and the concentration of information to the two-hour London/New York trading raise concerns for regional market development and global market stability.
Lee, AD & Choy, S 2014, 'Contracts for dummies? The performance of investors in contracts for difference', ACCOUNTING AND FINANCE, vol. 54, no. 3, pp. 965-997.View/Download from: UTS OPUS or Publisher's site
Fong, KYL, Gallagher, DR & Lee, AD 2014, 'Individual Investors and Broker Types', JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, vol. 49, no. 2, pp. 431-451.View/Download from: UTS OPUS or Publisher's site
Klimova, A & Lee, AD 2014, 'Does a Nearby Murder Affect Housing Prices and Rents? The Case of Sydney'.
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. Higher media coverage and being located closer to the murder (within 0.1 mile) have no additional effect on prices. Taken together, our findings suggest that
proximity to a murder affects nearby property prices, particularly in the first year after the incident.
Ainsworth, A & Lee, AD 2014, 'Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia', Journal of Financial Markets, vol. 20, pp. 101-128.View/Download from: UTS OPUS or Publisher's site
Melser, D & Lee, AD 2014, 'Estimating the Excess Returns to Housing at a Disaggregated Level: An Application to Sydney 2003-11', Real Estate Economics, vol. 42, no. 3.View/Download from: UTS OPUS or Publisher's site
Chen, Z, Foster, D, Gallagher, D & Lee, AD 2013, 'Does portfolio emulation outperform its target funds?', Australian Journal of Management, vol. 38, no. 2, pp. 401-427.View/Download from: UTS OPUS or Publisher's site
An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one manager may buy a stock for her fund while another manager sells the same stock at approximately the same time for his fund). While lowering transaction costs is a key benefit of an emulation strategy, there has been little research that compares the reduction in transaction costs with the opportunity costs of delaying trade. Using reported equity trades for a large Australian pension fund we simulate the consequences of an emulation strategy. We find that simulated emulation trades underperform those trades made by the employed (or target) fund over our sample period. That is, the opportunity cost of delayed trading significantly outweighs transaction cost reductions. Overall, we do not find strong evidence to support emulation from a cost-benefit perspective before management fees and taxes.
Fong, K, Gallagher, DR & Lee, AD 2009, 'The value of alpha forecasts in portfolio construction', Australian Journal of Management, vol. 34, no. 1, pp. 97-121.View/Download from: UTS OPUS or Publisher's site
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 are both statistically significant and economically significant when incorporating transaction costs. These strategies are short term in nature, with statistically significant performance lasting up to nine months. When we account for look-ahead bias in the formation of a strategy, we find statistically significant alpha when following the best performing strategy holding 20 stocks or more in the previous month.
Fong, K, Gallagher, DR & Lee, AD 2008, 'The state of origin of Australian equity: Does active fund manager location matter?', Australian Journal of Management, vol. 32, no. 3, pp. 503-523.View/Download from: UTS OPUS or Publisher's site
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, our study reveals evidence which is inconsistent with a location advantage for Melbourne and Sydney active equity funds. Both Melbourne and Sydney fund managers overweight Melbourne stocks, exhibit skill in picking Sydney stocks and avoid poor performing Melbourne and Sydney stocks. In addition, we find no evidence of word-of-mouth trading effects in Melbourne or Sydney funds. Taken together, this suggests information asymmetries arising from location are weak for Melbourne and Sydney funds.
Fong, K, Gallagher, DR & Lee, AD 2008, 'Benchmarking benchmarks: Measuring characteristic selectivity using equity portfolio holdings data', Accounting and Finance, vol. 48, no. 5, pp. 761-781.View/Download from: UTS OPUS or Publisher's site
This research was funded through an Australian Research Council Linkage Grant (LP0561160) involving Vanguard Investments Australia and Securities Industry Research Centre of Asia-Pacific. We are grateful for the helpful comments from a number of individuals, including an anonymous referee, Doug Foster, Eric Smith, Scott Lawrence and seminar participants at the 19th Australasian Banking & Finance Conference (2006), and the 20th University of Western Australia PhD Conference in Economics and Business (2007). The authors thank Vanguard Investments Australia for research support. The authors also thank the organizers of the 12th Annual Super Bowl of Indexing held in Scottsdale, Arizona, USA (2007), where this paper won the William F. Sharpe Award for best index-related research paper.
The appropriateness of benchmarks is particularly critical in performance evaluations of equity managers, and inferences made from them in terms of managerial skill Recent empirical research for Australian equity managers shows, on average, outperformance relative to the market over long-run periods. This paper aims to identify more accurately the main sources of that excess return, and finds that it stems from a combination of style exposures and stock selection, both primarily within the large-cap arena especially bank and finance stocks.
Ainsworth, A & Lee, AD 2013, 'The Influence of Individual Investors on Ex-Dividend Day Returns', 2013 Personal Finance and Investments Research Symposium, Brisbane, Australia.
Lee, AD 2013, 'CFDs, Forwards, Futures and the Cost of Carry', Quantitative Methods in Finance 2013 Conference, Sydney, Australia.
Ainsworth, A & Lee, AD 2013, 'The Influence of Individual Investors on Ex-Dividend Day Returns', The 26th Australasian Finance and Banking Conference, Sydney, Australia.
Fong, K, Gallagher, DR & Lee, AD 2010, 'Brokerage service and individual investor trade performance', Seminar Presentation, University of Western Australia, Perth, Australia.
Ainsworth, A & Lee, AD 2010, 'Why does the bid-ask spread widen on ex-dividend days in Australia?', Accounting and Finance Association of Australia and New Zealand Conference, Christchurch, New Zealand.
Fong, K, Foster, FD, Gallagher, DR & Lee, AD 2009, 'The price impact of trades executed using multiple brokers', Asian Finance Association, Brisbane, Australia.
Active fund managers can execute a trade package using multiple brokers in order to maximize the benefits from obtaining analyst information and minimizing execution costs. A testable implication of this hypothesis is that price impact costs are lower when funds use secondary brokers to trade instead of using a single broker to execute the entire order. Using the trades of Australian institutional active and passive equity funds from 1995 to 2001, we find secondary broker do not have lower price impact than if a single broker is used, even when controlling for the informativeness of the trade package, brokerage and potential endogeneity. Our findings suggest that fund managers do not benefit from lower transaction costs in using additional brokers to trade than the main broker.
Fong, K, Gallagher, DR & Lee, AD 2008, 'Do institutions really exploit individuals? The intraday losses and offsetting returns of discount and premium retail investors', Australasian Finance and Banking Conference, Sydney, Australia.
Fong, K, Foster, FD, Gallagher, DR & Lee, AD 2008, 'The price impact of trades executed using multiple brokers', Financial Management Association International Annual Meeting, Texas, USA.
Fong, K, Gallagher, DR & Lee, AD 2008, 'The extent of individual investor losses: Evidence from the Australian Securities Exchange', Finsia Melbourne Centre for Financial Studies Banking and Finance Conference, Melbourne, Australia.
Fong, K, Foster, FD, Gallagher, DR & Lee, AD 2008, 'The price impact of trades executed using multiple brokers', Accounting and Finance Association of Australia and New Zealand Conference, Sydney, Australia.
Fong, K, Gallagher, DR & Lee, AD 2007, 'The price impact of trades executed using multiple brokers', Australasian Finance and Banking Conference, Sydney, Australia.
Fong, K, Gallagher, DR & Lee, AD 2007, 'Benchmarking benchmarks: Measuring characteristic selectivity using equity portfolio holdings', PhD Conference in Economics and Business, Perth, Australia.
Fong, K, Gallagher, DR & Lee, AD 2006, 'Measuring characteristic selectivity and timing ability using equity portfolio holdings', Australasian Finance and Banking Conference, Sydney, Australia.
Ainsworth, A & Lee, AD 2013, 'The Influence of Individual Investors on Ex-Dividend Day Returns', 2013 Auckland Finance Meeting, Auckland, New Zealand.
Baur, DG, Hong, K & Lee, AD 2016, 'Virtual Currencies: Media of Exchange or Speculative Asset?'.
Ainsworth, AB, Akhtar, SM, Corbett, AJ, Lee, AD & Walter, TS 2016, 'Are Australian Superannuation Industry Fees Too High?'.
Ainsworth, AB, Akhtar, SM, Corbett, AJ, Lee, AD & Walter, TS 2016, 'Superannuation Fees and Asset Allocation'.
Ainsworth, AB, Akhtar, SM, Corbett, AJ, Lee, AD & Walter, TS 2016, 'Superannuation Fund Performance and Fund Fees'.
Melser, D & Lee, AD 2012, 'Estimating the Excess Returns to Housing at a Disaggregated Level: An Application to Sydney 2003-11'.