Lorenzo Casavecchia

Mar, J.L., Bird, R.G., Casavecchia, L. & Yeung, D.C. 2009, 'Fundamental indexation: An Australian investigation', Australian Journal of Management, vol. 34, no. 1, pp. 1-20.
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Capitalisation-weighted indexes provide the basis for passive investment strategies designed to capture market performance. However, these cap-weighted indexes are claimed to be sub-optimal because of their tendency to overweight overvalued shares and underweight undervalued shares. U.S. evidence suggests that fundamental indexes, which select, rank and weight stocks according to fundamental measures of size such as book value and revenue, outperform cap-weighted indexes. This study examines fundamental indexation in an Australian context over the period 1995 to 2006 and finds support for the U.S. results. However, we also find that the superiority of fundamental indexation is largely explained by its inherent bias towards value stocks, which raises the question as to whether a more overt value tilt may not provide a superior means for exploiting mispricings in markets.

Bird, R.G. & Casavecchia, L. 2007, 'Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience', The European Journal of Finance, vol. 13, no. 8, pp. 769-793.
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The well-documented market underperformance of the majority of value and growth stocks over a 12-month holding period reflects that traditional valuation metrics might tell us whether a stock is potentially cheap or expensive but little about when, or even if, it will experience a market correction. Two indicators have come to the fore in recent years that provide useful insights: sentiment/momentum and accounting fundamentals/financial health.We examine their single and combined impact on value and growth stocks and find that (i) they are effective in introducing a timing element into the selection of both value and growth stocks, (ii) the sentiment indicator completely dominates the financial health indicator and, (iii) both indictors contribute to the performance of the good and bad growth stocks. The size and significance of the investment profits that potentially can be generated using the two indicators in combination questions of the efficiency of the European equity markets.We conclude that our findings are consistent with the pricing cycle for a stock proposed by Lee and Swaminathan (Lee, C. and Swaminathan, B. (2000) Price momentum and trading volume, Journal of Finance, 55, pp. 2017?2069.) and the under- and over-reaction in pricing inherent in models proposed by Barberis et al. (Barberis, N., Shleifer A., and Vishny, R. (1998) A model of investor sentiment, Journal of Financial Economics, 49, pp. 307?343.) and Hong and Stein (Hong, H. and Stein, J.C. (1999) A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance, 54, pp. 2143-2184.).

Bird, R.G. & Casavecchia, L. 2007, 'Value Enhancement Using Momentum Indicators: The European Experience', International Journal of Managerial Finance, vol. 3, no. 3, pp. 229-262.
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Abstract: Purpose ? The purpose of this research is to study the extent to which various price and earnings momentum measures can be used to enhance portfolio performance by better timing entry into value stocks (and isolating those growth stocks that still have some period to run). Design/methodology/approach ? The paper uses the traditional methodology of ranking stocks on the basis of certain value and momentum measures (e.g. book-to-market, market return over some prior period), forming portfolios based on these rankings which are held for a specific period of time. The portfolios are formed on the basis of a single measure of multiple measures and the returns and associated p-values are calculated with the objective of determining how these portfolios perform relative to a benchmark portfolio composed of all the companies in the universe. The analysis is conducted on a database consisting of approximately 8,000 companies drawn from 15 European countries over the period from January 1989 to May 2004.

Bird, R.G. & Casavecchia, L. 2006, 'Insights into the momentum life cycle for European stock', Journal of Investing, vol. 15, no. 3, pp. 105-118.

Casavecchia, L. & Scotti, M. 2009, 'Dynamic setting of distribution fees in the US mutual fund industry', Financial Management Association Annual Meeting, Reno, Nevada, USA, October 2009.

Casavecchia, L. 2009, 'The effect of the idiosyncratic risk smile on the fee-performance relationship', Seminar Presentation, School of Finance and Economics, University of Technology, Sydney, Sydney, Australia, September 2009.

Casavecchia, L. & Hulley, H. 2009, 'The fee-performance relationship does not demand unsophisticated investors', Seminar Presentation, University of Queensland Business School, Brisbane, Australia, September 2009.

Casavecchia, L. & Scotti, M. 2008, 'Strategic pricing of mutual funds and the flow-performance relation', Paul Woolley Centre for Capital Market Dysfunctionality Conference 2008, Sydney, Australia, October 2008.

Casavecchia, L. 2008, 'The impact of the interaction of managers and clients on market price', Third International Conference on Mathematics in Finance, Kruger National Park, South Africa, September 2008.

Bird, R.G., Casavecchia, L. & Reggiani, F. 2007, 'Corporate Social Responsibility and Corporate Performance: Where to Begin?', European Financial Management Association 2007 Annual Meetings, Vienna, Australia, June 2007.

Bird, R.G., Casavecchia, L. & Reggiani, F. 2007, 'Corporate Social Responsibility and Corporate Performance: Where to Begin?', European Academy of Management Conference, Paris, France, May 2007.

Bird, R.G. & Casavecchia, L. 2007, 'Insights into the Market Impact of Different Investment Styles', Trading Strategies and Financial Market Inefficiency, London, UK, March 2007.

Bird, R.G. & Casavecchia, L. 2007, 'The probability of style rotation for value and growth stocks along their earnings and momentum life cycle', 2007 Financial Management Association Annual Meeting, Orlando, Florida, October 2007 in 2007 Financial Management Association Annual Meeting, ed -, Financial Management Association, Orlando, Florida, pp. 1-27.

Bird, R.G. & Casavecchia, L. 2007, 'The profitability of style rotation for value and growth stocks along their earnings and momentum life cycle', European Financial Management Association 2007 Annual Conference, Vienna, Australia, June 2007.

Bird, R.G. & Casavecchia, L. 2006, 'An analysis of causality in the relationship between analysts' forecast revisions and market prices', 17th Annual Asian Finance Association/FMA Conference, Auckland, New Zealand, July 2006 in 17th Annual Asian Finance Association/FMA Conference, ed -, Asian Finance Association, Auckland, pp. 1-21.

Bird, R.G. & Casavecchia, L. 2006, 'Sentiment and financial strength indicators for value and growth stocks: The European experience', 13th Annual Conference of the Multinational Finance Society, Edinburgh, UK, June 2006 in 13th Annual Conference of the Multinational Finance Society, ed -, -, -.

Bird, R.G. & Casavecchia, L. 2006, 'Sentiment and financial strength indicators for value and growth stocks: The European experience', The European Financial Management Association 2006 Annual Meetings, Madrid, Spain, June 2006 in The European Financial Management Association 2006 Annual Meetings, ed -, -, -.

Bird, R.G. & Casavecchia, L. 2006, 'The relationship between corporate social responsibility and corporate performance: The magnitude and the direction', Seminar Presentation, School of Finance and Economics, University of Technology, Sydney, Sydney, Australia, May 2006.
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Corporate management is torn between either focusing solely on the interests of stockholders (the neo-classical view), or taking into account the interests of a wide spectrum of stakeholders (the stakeholder theory view). Of course, there need be no conflict where taking the wider view is also consistent with maximising stockholder wealth. We examine the extent to which a conflict actually exists by investigating the relationship between a companya??s positive (strengths) and negative (concerns) corporate social responsibility (CSR) activities and corporate financial and market performance. In general, we find no evidence to suggest that managers taking a wider stakeholder perspective will jeopardise the interest of stockholders. Our findings do suggest that the market is influenced by the broad index constructed on strengths and concerns of CSR activities. The analysis also concentrates on examining the nature of causation in the relationship between CSR and corporate performance and finds that, in general, a relevant leading phenomenon exists, with well performing firms developing more (a??slacka??) resources to allocate to CSR activities, with CSR which consequently feedbacks on corporate performance.

Casavecchia, L. 2006, 'Investment styles across European markets.', 17th Annual Asian Finance Association/ FMA Conference, Auckland, New Zealand, July 2006.

Casavecchia, L. 2005, 'Insight into the momentum life cycle for European stocks', Global Finance Conference, Dublin, Ireland, June 2005.

Casavecchia, L. 2005, 'The earnings and momentum life cycle in Europe', Quantitative Methods in Finance Workshop 2005, Milan, Italy, July 2005.

Casavecchia, L. 2005, 'The profitability of prices and earnings momentum strategies across European markets', 2005 Global Finance Conference, Dublin, Ireland, June 2005 in 2005 Global Finance Conference, ed -, -, -.

Casavecchia, L. 2005, 'Value enhancement using momentum indicators: The European experience', European Financial Management Association 2005 Annual Meetings, Milan, Italy, June 2005.

Casavecchia, L. 2005, 'Value enhancement using momentum indicators: The European experience', 2005 FMA European Conference, Siena, Italy, June 2005.