Equity home bias in Australian superannuation funds/ created by Geoffrey J. Warren

By:

Warren, Geoffrey J [author]

Material type: Text

TextSeries: Australian journal of management ; Volume 35, number 1Los Angeles: Sage, 2010Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

03128962

Subject(s):

Portfolio diversification -- Portfolio selection -- Pension fund -- Australia

LOC classification:

HD31 AUS

Online resources:

Click here to access online

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.

Reviews from LibraryThing.com:

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HD31 AUS (Browse shelf(Opens below))	Vol. 35, no.1 (pages 69-94)	Not for loan	For in house use only

Browsing Main Library shelves, Shelving location: - Special Collections Close shelf browser (Hides shelf browser)

Previous	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	No cover image available	Next
Previous	HD31 AUS Australian journal of management.	HD31 AUS The book-to-market equity ratio as a proxy for risk : evidence from Australian markets/	HD31 AUS Investment manager skill in small-cap equities/	HD31 AUS Equity home bias in Australian superannuation funds/	HD31 AUS A rejoinder on Australia’s export promotion programs/	HD31 AUS A fixed-rate loan prepayment model for Australian mortgages/	HD31 AUS Are two heads better than one? : An experiment with novice share traders/	Next

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.

There are no comments on this title.

to post a comment.

here