The equity risk premium (ERP) remains one of the most hotly contested ideas in finance. The disagreement, in practical and theoretical terms, centres on how best to measure the risk of an investment, how to convert this risk measure into an expected return that compensates the investor for...

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...

In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the relationship between cost (specifically, the management expense ratio) and performance? The...

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...

In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior risk-adjusted returns? Second, what is the nature of market timing/stock selectivity trade off in the generation of alpha? The...

In this performance persistence study, two questions are addressed. First, what is the relationship between past fund returns and future performance? Second, does a 'hot hand' fund selection system deliver economically significant returns to investors? Using a sample of Australian equity...

Lifecycle funds offered to retirement plan participants gradually reduce their exposure to stocks as they approach the target date of retirement. We show that such deterministic switching rules produce inferior wealth outcomes for the investor compared to strategies that dynamically alter the...