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

Michael E. Drew, Jon D. Stanford, Madhu Veeraraghavan

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)35-47
Number of pages13
JournalEconomic Analysis and Policy
Volume32
Issue number1
DOIs
Publication statusPublished - 2002

Fingerprint Dive into the research topics of 'Efficiency With Costly Information: A Study of Australian Wholesale Superannuation Fund Performance'. Together they form a unique fingerprint.

Cite this