Dr Don Galagedera - Researcher Profile

Biography

Don works in the Faculty of Business & Economics at Monash University as a Senior Lecturer.

Qualifications

DOCTOR OF PHILOSOPHY

Institution: Monash University

Year awarded: 2004

MASTER OF INDUSTRIAL ENGINEERING AND OR

Institution: University of California, Berkeley, USA

Year awarded: 1980

GRADUATE DIOPLOMA IN STATISTICS

Institution: University of Sri Jayawardenapura, Sri Lanka

Year awarded: 1976

BACHELOR OF SCIENCE

Institution: University of Kelaniya, Sri Lanka

Year awarded: 1974

Publications

Books

Galagedera, D.U.A. (ed), 2007, Managerial Finance: Empirical perspectives in capital asset pricing, Emerald Group Publishing Limited, UK.

Book Chapters

Iqbal, J., Brooks, R., Galagedera, D., 2011, Testing the lower partial moment asset-pricing models in emerging markets, in Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, eds Greg N Gregoriou and Razvan Pascalau, Palgrave Macmillan, Basingstoke UK, pp. 154-175.

Iqbal, J., Brooks, R.D., Galagedera, D.U.A., 2010, Asset pricing with higher-order co-moments and alternative factor models: The case of an emerging market, in Emerging Markets: Performance, Analysis and Innovation, eds Greg N Gregoriou, CRC Press, Boca Raton FL USA, pp. 509-531.

Journal Articles

Tan, P.P., Galagedera, D.U.A., Maharaj, E.A., 2012, A wavelet based investigation of long memory in stock returns, Physica A: Statistical Mechanics and its Applications [P], vol 391, issue 7, Elsevier BV, Amsterdam Netherlands, pp. 2330-2341.

Premachandra, I.M., Zhu, J., Watson, J., Galagedera, D.U.A., 2012, Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition, Journal of Banking and Finance [P], vol 36, issue 12, Elsevier BV, Amsterdam Netherlands, pp. 3302-3317.

Nurjannah, N., Galagedera, D.U.A., Brooks, R.D., 2012, Conditional relation between systematic risk and returns in the conventional and downside frameworks: Evidence from the Indonesian market, Journal of Emerging Market Finance [P], vol 11, issue 3, Sage Publications India Pvt Ltd, Delhi India, pp. 271-300.

Galagedera, D.U.A., Kitamura, Y., 2012, Effect of exchange rate return on volatility spill-over across trading regions, Japan and the World Economy [P], vol 24, issue 4, Elsevier BV, Amsterdam Netherlands, pp. 254-265.

Galagedera, D.U.A., 2012, Recent trends in relative performance of global equity markets, Journal of International Financial Markets, Institutions and Money [P], vol 22, issue 4, Elsevier BV North-Holland, Netherlands, pp. 834-854.

Maharaj, E., Galagedera, D., Dark, J., 2011, A comparison of developed and emerging equity market return volatility at different time scales, Managerial Finance [P], vol 37, issue 10, Emerald Group Publishing Ltd, Bingley UK, pp. 940-952.

Galagedera, D.U.A., 2010, Association between environmental factors and equity market performance: Evidence from a nonparametric frontier method, Financial Markets and Portfolio Management [E], vol 24, issue 3, Springer New York LLC, USA, pp. 245-269.

Iqbal, J., Brooks, R.D., Galagedera, D.U.A., 2010, Multivariate tests of asset pricing: Simulation evidence from an emerging market, Applied Financial Economics [P], vol 20, issue 5, Routledge, UK, pp. 381-395.

Iqbal, J., Brooks, R.D., Galagedera, D.U.A., 2010, Testing conditional asset pricing models: An emerging market perspective, Journal of International Money and Finance [P], vol 29, issue 5, Pergamon, UK, pp. 897-918.

Maharaj, E., D'Urso, P., Galagedera, D., 2010, Wavelet-based fuzzy clustering of time series, Journal Of Classification [P], vol 27, issue 2, Springer New York LLC, USA, pp. 231-275.

Galagedera, D.U.A., 2009, An analytical framework for explaining relative performance of CAPM beta and downside beta, International Journal of Theoretical and Applied Finance [P], vol 12, issue 3, World Scientific Publishing Company, Singapore, pp. 341-358.

Galagedera, D.U.A., 2009, Economic significance of downside risk in developed and emerging markets, Applied Economics Letters [P], vol 16, issue 16, Routledge, United Kingdom, pp. 1627-1632.

Galagedera, D.U.A., Jaapar, A., 2009, Modelling time-varying downside risk, The I C F A I Journal of Financial Economics [P], vol 7, issue 1, Icfai University Press, India, pp. 36-51.

Bainbridge, C., Galagedera, D.U.A., 2009, Relative performance of equity markets: An assessment in the conventional and downside frameworks, International Journal of Business [P], vol 14, issue 1, Premier Publishing Inc., United States, pp. 21-45.

Li, S., Galagedera, D.U.A., 2008, Co-movement of conditional volatility matter in asset pricing: Further evidence in the downside and conventional pricing frameworks, The Icfai Journal of Applied Finance, vol 14, issue 9, The Icfai University Press, India, pp. 24-44.

Galagedera, D.U.A., Maharaj, E.A., Brooks, R.D., 2008, Relationship between downside risk and return: New evidence through a multiscaling approach, Applied Financial Economics, vol 18, issue 20, Routledge, UK, pp. 1623-1633.

Galagedera, D.U.A., Maharaj, E.A., 2008, Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns, Quantitative Finance, vol 8, issue 2, Routledge, UK, pp. 201-215.

Galagedera, D.U.A., 2007, A review of capital asset pricing models, Managerial Finance, vol 33, issue 10, Emerald Group Publishing Limited, UK, pp. 821-832.

Galagedera, D.U.A., 2007, An alternative perspective on the relationship between downside beta and CAPM beta, Emerging Markets Review, vol 8, issue 1, Elsevier BV, North-Holland, Netherlands, pp. 4-19.

Galagedera, D.U.A., Brooks, R.D., 2007, Is co-skewness a better measure of risk in the downside than downside beta?. Evidence in emerging market data, Journal of Multinational Financial Management, vol 17, issue 3, Elsevier BV, North-Holland, Netherlands, pp. 214-230.

Galagedera, D.U.A., 2007, Relationship between systematic-risk measured in the second-order and third-order co-moments in the downside framework, Applied Financial Economics Letters, vol 3, issue 3, Routledge, UK, pp. 147-153.

Woodward, G.A., Galagedera, D.U.A., 2006, Does prior mathematics knowledge really lead to variation in elementary statistics performance? evidence from a developing country, International Journal of Educational Development, vol 26, issue 6, Pergamon, UK, pp. 631-639.

Galagedera, D.U.A., Faff, R., 2005, Modeling the risk and return relation conditional on market volatility and market conditions, International Journal of Theoretical and Applied Finance, vol 8, issue 1, World Scientific Publishing Co. Pty Ltd, Singapore, pp. 75-95.

Galagedera, D.U.A., Edirisuriya, P., 2005, The performance of Indian commercial banks (1995-2002), South Asian Journal of Management, vol 12, issue 4, Assoc. of Management Development Institutions in South Asia, India, pp. 52-74.

Galagedera, D.U.A., Henry, D., Silvapulle, P., 2004, Empirical evidence on the conditional relation between higher-order systematic co-movements and security returns, Quarterly Journal of Business and Economics, vol 42, issue 1 & 2, University of Nebraska at Lincoln, USA, pp. 121-137.

Galagedera, D.U.A., Silvapulle, P., 2003, Experimental evidence on robustness of data envelopment analysis, Journal of the Operational Research Society, vol 54, issue 6, Palgrave Macmillan Ltd, UK, pp. 654-660.

Galagedera, D.U., Silvapulle, P., 2002, Australian mutual fund performance appraisal using data envelopment analysis, Managerial Finance, vol 28, issue 9, Barmarick Publications, UK, pp. 60-73.

Galagedera, D.U., 2001, Interpretation of theory-of-interest applications using the fractional withdrawal concept, The Engineering Economist, vol 46, issue 1, American Society for Engineering Education, USA, pp. 64-80.

Galagedera, D.U.A., Woodward, G., Degamboda, S., 2000, An investigation of how perceptions of mathematics ability can affect elementary statistics performance, International Journal of Mathematical Education in Science and Technology, vol 31 issue 5, Taylor and Francis, London UK, pp. 679-689.

Galagedera, D.U., 1998, Is remedial mathematics a real remedy? Evidence from learning statistics at tertiary level, International Journal of Mathematical Education in Science and Technology, vol 29, 4, Taylor & Francis, Loughborough UK, pp. 475-480.

Conference Proceedings

Galagedera, D.U.A., Brooks, R.D., 2006, Is co-skewness a better measure of risk in the downside than downside beta? Evidence in emerging market data, Far Eastern Meeting of the Econometric Society (FEMES), 9 July 2006 to 12 July 2006, Far Eastern Meeting of the Econometric Society (FEMES), Beijing China, pp. 1-43.

Galagedera, D.U.A., 2004, Does model misspecification in DEA affect some DMUS more than others Experimental evidence frm a CRS frontier, Data Envelopment Analysis and Performance, 05/09/04 - 06/09/04, Aston Business School, Aston University, UK, pp. 121-128.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Conditional pricing models and cross-section of expected return: an emerging market perspective.

Supervisors:

Brooks, R (Joint-co), Galagedera, D (Joint).

Completed Supervision

Student:

Bainbridge, C.

Program of Study:

Association between idiosyncratic volatility and expected return. (Masters) 2011.

Supervisors:

Galagedera, D (Joint), Silvapulle, P (Joint-Co).

Student:

Iqbal, J.

Program of Study:

Modelling asset pricing in emerging markets: a perspective from Pakistan. (PHD) 2008.

Supervisors:

Brooks, R (Main), Galagedera, D (Associate).

Student:

Nurjannah, .

Program of Study:

Conditional asset pricing models in the conventional and downside frameworks. (Masters) 2009.

Supervisors:

Brooks, R (Joint), Galagedera, D (Joint-Co).

Student:

Tan, P.

Program of Study:

Econometric analysis of stock returns and idiosyncratic volatility. (PHD) 2011.

Supervisors:

Galagedera, D (Joint), Maharaj, E (Joint-Co).

Student:

Ting, S.

Program of Study:

Trading activity and volatility in equity and foreign exchange markets. (Masters) 2011.

Supervisors:

Galagedera, D (Main), Treepongkaruna, S (Associate), Brooks, R (Associate).