Equity home bias in Australian superannuation funds

Geoffrey J. Warren
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Geoffrey J. Warren: School of Finance and Applied Statistics, Australian National University, Australia, Geoff.Warren@anu.edu.au

Australian Journal of Management, 2010, vol. 35, issue 1, 69-93

Abstract: Equity home bias for Australia superannuation funds is examined under a model that reflects observed decision processes. The mix of Australian and international equities is evaluated as a two-asset choice under the influence of legacy, an objective function that trades off expected returns against portfolio risk and peer risk, and under expectations that are formed adaptively and allow for taxation differences. The model closely replicates the observed equity mix, particularly relative to more traditional mean-variance formulations. The main implication is that home bias may be better explained under models that reflect industry practices and allow for various commingled influences. JEL classifications G11, G23

Keywords: home bias; portfolio choice; superannuation funds (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:35:y:2010:i:1:p:69-93

DOI: 10.1177/0312896209354220

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