Testing The Incomplete Arbitrate Hypothesis: Evidence From Australian Wholesale Superannuation Funds
AbstractThis 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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Bibliographic InfoPaper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 099.
Date of creation: 02 Oct 2001
Date of revision:
Superannuation funds; Australia;
Find related papers by JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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