In this analysis of Australia’s superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance, resulting in the delivery of costly funds management products which add minimal value for investors...

This paper considers the size effect, where volatility dynamics are dependant upon the current level of volatility within an stochastic volatility framework. A non-linear filtering algorithm is proposed where the dynamics of the latent variable is conditioned on its current level. This allows...

This paper develops a computationally efficient filtering based procedure for the estimation of the heavy tailed SV model with leverage. While there are many accepted techniques for the estimation of standard SV models, incorporating these effects into an SV framework is difficult. Simulation...

Are the returns accruing to De Bondt and Thaler’s (1985) (DT) much celebrated overreaction anomaly pervasive? Using the CRSP data set used by for the period 1926 through 1982, and, for the first time, an additional two decades of data (1983 through 2003), we provide preliminary support for the...

In this analysis of institutional investor performance, two questions are addressed. First, what degree of similarity is observed within the market place for retail superannuation funds? Second, what are the implications of homogenous behaviour for member choice policy? The answers from this...

This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by more accurately reflecting the formation of investor expectations. An adaptive expectations...