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

Michael Drew, Jon Stanford and Madhu Veeraraghavan
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Madhu Veeraraghavan: School of Accounting and Finance, Griffith University, Gold Coast, QLD

Economic Analysis and Policy, 2002, vol. 32, issue 1, 35-47

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.

JEL-codes: H55 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:32:y:2002:i:1:p:35-47

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