The Performance of Australian Superannuation Funds

Bird, Ron; Chin, Helen B; McCrae, Michael

doi:10.1177/031289628300800104

Cited by 57 publications

(33 citation statements)

References 14 publications

(7 reference statements)

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“…There is a significant body of literature which investigates different aspects of superannuation such as taxation (Bateman et al, 1993;Knox, 1993), annuities (Piggot et al, 2005), retirement timing (Kingston, 2000), disclosure (Gallery and Gallery, 2003), safety (Valentine, 2003), diversification (Diggle et al, 1999), performance (Bird et al, 1983;Robson, 1986;Sinclair, 1990;Hallahan, 1999;Sawicki and Ong, 2000;Gallagher, 2001;Prather et al, 2001;Drew and Stanford, 2003;Hallahan and Faff, 2004), returns, volatility and expenses (Coleman et al, 2004). However, none of these studies explored the sensitivity of superannuation funds to market movements.…”

Section: Introductionmentioning

confidence: 99%

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Roca

Wong

2008

Applied Financial Economics

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This article investigates the sensitivity of Australian superannuation funds in relation to equity and bond markets. In particular, it examines the extent, speed and duration of response of the Australian superannuation funds's returns to movements in the US and Australian equity and bond markets when fund returns are in the up, normal and down regimes, through the application of Markov regime switching analysis. The results reveal that Australian superannuation funds's returns are most affected by movements in the US equity market, followed by the Australian equity market then by the US bond market. Funds's returns are not influenced at all by movements in the Australian bond market. They respond quickly and briefly to market movements irrespective of whether funds returns are in a down, normal or up state. Funds's returns move positively with the US equity market under all states or regimes of funds returns but most especially during the down regime. They are influenced by the Australian equity market only during the normal regime and by the US bond market only during the up regime. In line with those of previous studies, these results imply that Australian superannuation funds are not able to time their exposure to markets and that their performance is indicative of an efficient market.

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Section: Introductionmentioning

confidence: 99%

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Roca

Wong

2008

Applied Financial Economics

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“…Bird et al , 1983;Robson, 1986;Hallahan and Faff, 1999;Sawicki and Ong, 2000). It is well documented that large stocks are more efficiently priced than small stocks (Freeman, 1987;Hong, Lim and Stein, 2000) as a result, in part to high quality voluntary disclosure (e.g., Bhushan, 1989;O'Brien and Bhushan, 1990;Lang and Lundholm, 1996).…”

Section: Introductionmentioning

confidence: 99%

Stock preferences and derivative activities of Australian fund managers

Pinnuck

2004

Accounting & Finance

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The present paper examines both the characteristics of stocks that fund managers prefer to hold and their use of derivatives. We find strong evidence that fund managers prefer large, liquid and low volatility stocks. Weak evidence exists that fund managers prefer to hold stocks that are past winners. In relation to derivatives, just over half of the sampled Australian fund managers hold derivatives in the form of exchange traded options. Of those that do trade in derivatives, it is found the level of exposure to stock price movements achieved by options is not significant relative to the total investment portfolio. Copyright 2004 Accounting and Finance Association of Australia and New Zealand.

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“…The concern is that less sophisticated investors will be swayed by 2 The relevant Australian literature on fund performance and related issues can be summarized as follows. Early Australian studies find no evidence of out-performance (see for example, Bird et al, 1983). Similarly, later Australian studies using market-timing models report little evidence of timing ability (Sinclair, 1990;Hallahan and Faff, 1999;Marisetty and Ariff, 2003;Holmes and Faff, 2004).…”

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confidence: 99%