TY - JOUR
T1 - Efficiency With Costly Information
T2 - A Study of Australian Wholesale Superannuation Fund Performance
AU - Drew, Michael E.
AU - Stanford, Jon D.
AU - Veeraraghavan, Madhu
PY - 2002
Y1 - 2002
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84929996918&partnerID=8YFLogxK
U2 - 10.1016/S0313-5926(02)50005-9
DO - 10.1016/S0313-5926(02)50005-9
M3 - Article
AN - SCOPUS:84929996918
SN - 0313-5926
VL - 32
SP - 35
EP - 47
JO - Economic Analysis and Policy
JF - Economic Analysis and Policy
IS - 1
ER -