This study represents the first empirical examination of the daily trading and portfolio configuration
strategies of index and enhanced index equity funds. We document that passive funds …

Previous research examining the price impact of institutional trading concludes that index
funds incur higher liquidity costs due to the higher demand for trading immediacy. However, …

Over the past decade the growth of index funds has been substantial. This period has also
witnessed increased availability of new index-linked products (eg exchange traded funds) …

… ALEX FRINO, TRO KORTIAN, TEDDY OETOMO and GRANT WEARIN provide some
much needed research into the problem of price slippage. Teddy N. Detomo PhD …

Prior studies document an asymmetry in the price impacts surrounding institutional trades,
where purchases experience price continuations and sales exhibit price reversals. This study …

This study represents the first empirical examination of the daily trading and portfolio
configuration strategies of index and enhanced index equity funds. We find index and enhanced …

… There has been growth in the passive investment management sector, and ALEX FRINO,
DAVID GAllAGHER and TEDDY OHOMO provide some new evidence on its performance in …

This article examines the market‐impact cost of trades executed in futures markets, which is
commonly referred to as slippage. With the use of a unique data set provided by the Sydney …

This article reviews six different temperature forecasting models proposed by prior literature
for pricing weather derivatives. Simulation of these models is used to estimate daily …

… DAVID VAN LENNEP, TEDDY OETOMO, MAXWELL STEVENSON, AND ANDRE … TEDDY
OETOMO … Teddy Oetomo thanks Capital Markets CRC Limited for providing him with a Ph.D …