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Efficiency with Costly Information: A Study of Australian Wholesale Superannuation Fund Performance

Author

Listed:
  • Drew, Michael E.

    (School of Economics and Finance, Queensland University of Technology, Brisbane, QLD 4001)

  • Stanford, Jon D.

    (School of Economics, University Queensland, Brisbane, QLD 4072)

  • Veeraraghavan, Madhu

    (School of Accounting and Finance, Griffith University, Gold Coast, QLD)

Abstract

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.

Suggested Citation

  • Drew, Michael E. & Stanford, Jon D. & Veeraraghavan, Madhu, 2002. "Efficiency with Costly Information: A Study of Australian Wholesale Superannuation Fund Performance," Economic Analysis and Policy, Elsevier, vol. 32(1), pages 35-47, March.
    • Handle: RePEc:eee:ecanpo:v:32:y:2002:i:1:p:35-47
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    Cited by:

    1. Stephen Grenville, 2004. "Fund Managers and Superannuation," Agenda - A Journal of Policy Analysis and Reform, Australian National University, College of Business and Economics, School of Economics, vol. 11(1), pages 83-95.
    2. Michael E. Drew, 2003. "Superannuation Funds: The Fees and Performance Debate," School of Economics and Finance Discussion Papers and Working Papers Series 130, School of Economics and Finance, Queensland University of Technology.
    3. Dr Jon D. Stanford & Michael E. Drew, 2003. "A Review Of Australia's Compulsory Superannuation Scheme After A Decade," Discussion Papers Series 322, School of Economics, University of Queensland, Australia.
    4. Dr Jon D. Stanford & Michael E. Drew, 2003. "A Review Of Australia's Compulsory Superannuation Scheme After A Decade," Discussion Papers Series 322, School of Economics, University of Queensland, Australia.

    More about this item

    JEL classification:

    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions

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