Testing the Incomplete Arbitrate Hypothesis: Evidence from Australian Wholesale Superannuation Funds, Discussion Paper No 99
Drew, Michael E., Stanford, Jon D. , & Veeraraghavan, Madhu (2001) Testing the Incomplete Arbitrate Hypothesis: Evidence from Australian Wholesale Superannuation Funds, Discussion Paper No 99. [Working Paper] (Unpublished)
This paper tests the efficiency of capital markets when information is costly to obtain by analysing the performance of Australian wholesale superannuation funds specialising in the management of domestic equity portfolios from 1991 through 1999. Using a fund regression approach, the paper finds evidence that is consistent with an incomplete arbitrage function, with investment managers generating returns sufficiently high to compensate them for the increased costs of active asset selection. Risk-adjusted returns in the Australian superannuation fund industry, net of management fees and expenses, are comparable to the returns from a passive asset selection policy.
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|Item Type:||Working Paper|
|Keywords:||Superannuation funds, Australia|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2001 (Please consult author)|
|Deposited On:||11 Nov 2004|
|Last Modified:||02 Feb 2012 19:44|
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