The case for gender-sensitive superannuation plan design (2009)
A key feature of superannuation plan design is the assumption that members have long and continuous periods of employment over which contributions are made. This heroic design feature has led to...
The search for hedge fund alpha (2008)
Bianchi, Robert J., Drew, Michael E., Stanley, Alex
While hedge funds continue to increase their funds under management, the evidence of their ability to earn alpha or excess returns remains mixed. We consider whether hedge fund returns can be...
The search for hedge fund alpha (2008)
Bianchi, Robert J., Drew, Michael E., Stanley, Alex
While hedge funds continue to increase their funds under management, the evidence of their ability to earn alpha or excess returns remains mixed. We consider whether hedge fund returns can be...
The search for hedge fund alpha (2008)
Bianchi, Robert J., Drew, Michael E., Stanley, Alex
While hedge funds continue to increase their funds under management, the evidence of their ability to earn alpha or excess returns remains mixed. We consider whether hedge fund returns can be...
The search for hedge fund alpha (2008)
Bianchi, Robert J., Drew, Michael E., Stanley, Alex
While hedge funds continue to increase their funds under management, the evidence of their ability to earn alpha or excess returns remains mixed. We consider whether hedge fund returns can be...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Portfolio Size and Lifecycle Asset Allocation in Pension Funds (2007)
Basu, Anup K., Drew, Michael E.
Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as...
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia's superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia’s superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Idiosyncratic volatility and security returns: evidence from Germany and United Kingdom (2006)
Drew, Michael E., Malin, Mirela Doina, Naughton, Tony, Veeraraghavan, Madhu
Yes
Idiosyncratic volatility and security returns: evidence from Germany and United Kingdom (2006)
Drew, Michael E., Malin, Mirela Doina, Naughton, Tony, Veeraraghavan, Madhu
Yes
Idiosyncratic volatility and security returns: evidence from Germany and United Kingdom (2006)
Drew, Michael E., Malin, Mirela Doina, Naughton, Tony, Veeraraghavan, Madhu
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia’s superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia's superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia's superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia's superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia's superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Idiosyncratic volatility and security returns: evidence from Germany and United Kingdom (2006)
Drew, Michael E., Malin, Mirela Doina, Naughton, Tony, Veeraraghavan, Madhu
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia's superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Australia's Retail Superannuation Fund Industry: Structure, Conduct and Performance (2006)
Clements, Adam E., Dale, Gemma, Drew, Michael E.
In this analysis of Australia's superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions.• does momentum exist in foreign exchange markets?• what is the impact of transaction costs on excess returns?• can a...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
Dann, Susan, Drew, Jacqueline M., Drew, Michael E.
This study examines the participation and retirement decisions of mature aged workers (defined as 50+ years) in Australia. Despite increasing interest in understanding the factors involved in the...
A test of momentum trading strategies in foreign exchange markets: Evidence from the G7 (2005)
Bianchi, Robert J., Drew, Michael E., Polichronis, John
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169 (2004)
Ye, Min, Veeraraghavan, Madhu, Drew, Michael E.
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom (2004)
Drew, Michael E., Mallin, Mirela, Naughton, Tony, Veeraraghavan, Madhu
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
A Review Of Australia's Compulsory Superannuation Scheme After A Decade (2003)
Drew, Michael E., Stanford, Jon D.
The Australian superannuation system places trustees in the key role of managing superannuation assets and we subject the role of trustee to close scrutiny while identifying the very substantial...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
A Review Of Australia's Compulsory Superannuation Scheme After A Decade (2003)
Drew, Michael E., Stanford, Jon D.
The Australian superannuation system places trustees in the key role of managing superannuation assets and we subject the role of trustee to close scrutiny while identifying the very substantial...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safetyof superannuation entitlements poses the question of what individual contributors can doto ensure their...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange: Discussion Paper No. 128 (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
A Review Of Australia's Compulsory Superannuation Scheme After A Decade (2003)
Drew, Michael E., Stanford, Jon D.
The Australian superannuation system places trustees in the key role of managing superannuation assets and we subject the role of trustee to close scrutiny while identifying the very substantial...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange: Discussion Paper No. 128 (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
A Review Of Australia's Compulsory Superannuation Scheme After A Decade (2003)
Drew, Michael E., Stanford, Jon D.
The Australian superannuation system places trustees in the key role of managing superannuation assets and we subject the role of trustee to close scrutiny while identifying the very substantial...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
A Review Of Australia's Compulsory Superannuation Scheme After A Decade (2003)
Drew, Michael E., Stanford, Jon D.
The Australian superannuation system places trustees in the key role of managing superannuation assets and we subject the role of trustee to close scrutiny while identifying the very substantial...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Retail Superannuation Management in Australia: Risk, Cost and Alpha, Discussion Paper No 126 (2003)
Drew, Michael E., Stanford, Jon D.
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Principal and Agent Problems in Superannuation Funds: Discussion Paper No. 142 (2003)
Drew, Michael E., Stanford, Jon D.
Anxieties about the performance of superannuation funds and concerns about the safety of superannuation entitlements poses the question of what individual contributors can do to ensure their...
Superannuation Funds: The Fees and Performance Debate: Discussion Paper No. 130 (2003)
Those who have followed the debate between Drew and Noland (2000)2 and Hayes (2001) in this journal will understand that the controversy surrounding one of the most hotly contested ideas in financial...
Investor Expectations and Systematic Risk: Discussion Paper No. 129 (2003)
Clements, Adam E., Drew, Michael E.
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange (2003)
Drew, Michael E., Naughton, Tony, Veeraraghavan, Madhu
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Selecting Australian Equity Superannuation Funds: A Retail Investor's Perspective (2002)
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
Research from the United States finds that the investment management industry, on average, destroys value for investors through under-performing benchmark returns. The value (or otherwise) of active...
Selecting Australian Equity Superannuation Funds: A Retail Investor's Perspective (2002)
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
Research from the United States finds that the investment management industry, on average, destroys value for investors through under-performing benchmark returns. The value (or otherwise) of active...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours levelfrom the student perspective, and their implications for student learning. Using an adaptation of...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they havea high beta. However, evidence shows that the single risk factor is not quite adequate for...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do activefund managers possess macro and micro forecasting skills that deliver superior riskadjustedreturns? Second, what is...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Selecting Australian Equity Superannuation Funds: A Retail Investor's Perspective (2002)
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
Research from the United States finds that the investment management industry, on average, destroys value for investors through under-performing benchmark returns. The value (or otherwise) of active...
Selecting Australian equity superannuation funds: a retail investor's perspective (2002)
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
Yes
Drew, Michael E., Veeraraghavan, Madhu
In this study of asset pricing in emerging markets, two questions are asked. First, Is there a size and value premium in markets outside the USA? Second, Can the multifactor model of Fama and French...
A test of the fama-french three factor model in the Australian equity market (2002)
Drew, Michael E., Veeraraghavan, Madhu, Allan Hodgson, Chris Guilding
Yes
Idiosyncratic volatility and security returns: evidence from the Asian Region (2002)
Drew, Michael E., Veeraraghavan, Madhu
Yes
Selecting Australian equity superannuation funds: a retail investor's perspective (2002)
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
Yes
Drew, Michael E., Veeraraghavan, Madhu
In this study of asset pricing in emerging markets, two questions are asked. First, Is there a size and value premium in markets outside the USA? Second, Can the multifactor model of Fama and French...
A test of the fama-french three factor model in the Australian equity market (2002)
Drew, Michael E., Veeraraghavan, Madhu
Yes
Idiosyncratic volatility and security returns: evidence from the Asian Region (2002)
Drew, Michael E., Veeraraghavan, Madhu
Yes
Drew, Michael E., Veeraraghavan, Madhu
In this study of asset pricing in emerging markets, two questions are asked. First, Is there a size and value premium in markets outside the USA? Second, Can the multifactor model of Fama and French...
Selecting Australian Equity Superannuation Funds: A Retail Investor's Perspective (2002)
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
Research from the United States finds that the investment management industry, on average, destroys value for investors through under-performing benchmark returns. The value (or otherwise) of active...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Selecting Australian Equity Superannuation Funds: A Retail Investor's Perspective (2002)
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
Research from the United States finds that the investment management industry, on average, destroys value for investors through under-performing benchmark returns. The value (or otherwise) of active...
Drew, Michael E., Veeraraghavan, Madhu
In this study of asset pricing in emerging markets, two questions are asked. First, Is there a size and value premium in markets outside the USA? Second, Can the multifactor model of Fama and French...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
Drew, Michael E., Subramaniam, Nava, Clowes-Doolan, Kim
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Idiosyncratic Volatility: Evidence from Asia: Discussion Paper No. 107 (2002)
Drew, Michael E., Veeraraghavan, Madhu
The traditional Capital Asset Pricing Model states that assets can earn only higher returns if they have a high beta. However, evidence shows that the single risk factor is not quite adequate for...
Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106 (2002)
Drew, Michael E., Chong, Leonard
largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian...
Drew, Michael E., Veeraraghavan, Madhu, Wilson, Vanessa
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior riskadjusted returns? Second, what...
The Economics of Choice of Superannuation Fund : Discussion Paper No. 102 (2002)
Drew, Michael E., Stanford, Jon D.
Under the Australian superannuation system there are two compulsory contributions to superannuation funds made on behalf of employees. The first is the award superannuation contribution of three per...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, wepresent out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French(1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
Explaining the Cross-Section of Stock Returns in the Asian Region. (2001)
Veeraraghavan, Madhu, Drew, Michael E., S.Bhagwan Dahiya
Yes
Explaining the Cross-Section of Stock Returns in the Asian Region. (2001)
Veeraraghavan, Madhu, Drew, Michael E.
Yes
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
On the Value Premium in Malaysia: Discussion Paper N0 92 (2001)
Drew, Michael E., Veeraraghavan, Madhu
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Asset Pricing in the Asian Region: Discussion Paper No 94 (2001)
Drew, Michael E., Veeraraghavan, Madhu
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
Idiosyncratic Risk and Australian Equity Returns : Discussion Paper No 96 (2001)
Dempsey, Mike, Drew, Michael E., Veeraraghavan, Madhu
Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
Returns from Investing in Australian Equity Superannuation Funds, 1991 to 1999 (2000)
Drew, Michael E., Stanford, Jon D.
This study tests the strong-form efficient market hypothesis for Australian equity superannuation fund returns from 1991 to 1999. The efficient market model is not rejected for the sample period,...
Includes bibliographical references.
Returns from Investing in Australian Equity Superannuation Funds, 1991 to 1999 (2000)
Drew, Michael E., Stanford, Jon D.
This study tests the strong-form efficient market hypothesis for Australian equity superannuation fund returns from 1991 to 1999. The efficient market model is not rejected for the sample period,...
Includes bibliography.
Returns from Investing in Australian Equity Superannuation Funds, 1991 to 1999 (2000)
Drew, Michael E., Stanford, Jon D.
This study tests the strong-form efficient market hypothesis for Australian equity superannuation fund returns from 1991 to 1999. The efficient market model is not rejected for the sample period,...
A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7
Rob Bianchi, Michael E. Drew, John Polichronis
In this trading strategy study, we ask three questions. First, does momentum exist in foreign exchange markets? Second, what is the impact of transactions costs on excess returns? And, third, can a...
Pricing of Equities in China: Evidence from the Shanghai Stock Exchange
Michael E. Drew, Tony Naughton, Madhu Veeraraghavan
In this paper we compare the performance of the traditional CAPM with the multifactor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the...
Small Firm Effect, Liquidity and Security Returns: Australian Evidence
Michael E. Drew, Alastair Marsden, Madhu Veeraraghavan
Standard asset pricing models ignore the costs of liquidity. In this study we advance the ongoing debate on empirical asset pricing and test if liquidity costs (as proxied by turnover rate, turnover...
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom
Michael E. Drew, Mirela Mallin, Tony Naughton, Madhu Veeraraghavan
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether...
Do Momentum Strategies Work?: - Australian Evidence
Michael E. Drew, Madhu Veeraraghavan, Min Ye
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that...
Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange
Michael E. Drew, Tony Naughton, Madhu Veeraraghavan
This paper employs the mimicking portfolio approach of Fama and French (1996) and asks whether idiosyncratic volatility is priced. This paper also provides evidence on whether returns on small stocks...
Investor Expectations and Systematic Risk
Adam Clements, Michael E. Drew
This study refines the estimation of beta risk within the Capital Asset Pricing Model (CAPM) framework. Evidence is provided that the link between ex-ante risk and ex-post returns is strengthened by...
Asset Pricing in China: Evidence from the Shanghai Stock Exchange
Michael E. Drew, Tony Naughton, Madhu Veeraraghavan
Capital market theory is concerned with the equilibrium relationship between risk and expected return on financial claims. Within this framework, this paper seeks to extend the mounting evidence...
Retail Superannuation Management in Australia: Risk, Cost and Alpha
Michael E. Drew, Jon D. Stanford
In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the...
Students’ Experience of The Honours’ Supervisory Relationship: A Preliminary Investigation
Michael E. Drew, Nava Subramaniam, Kim Clowes-Doolan
This study considers the role and intervention strategies adopted by supervisors at the Honours level from the student perspective, and their implications for student learning. Using an adaptation of...
Stock Market Interdependence: Evidence from Australia
Michael E. Drew, Leonard Chong
This study examines the relationship between Australia’s stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using correlation...
Market Timing and Selectivity: Evidence from Australian Equity Superannuation Funds
Michael E. Drew, Madhu Veeraraghavan, Vanessa Wilson
In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior risk-adjusted returns? Second, what...
TESTING THE INCOMPLETE ARBITRATE HYPOTHESIS: EVIDENCE FROM AUSTRALIAN WHOLESALE SUPERANNUATION FUNDS
Michael E. Drew, Jon D. Stanford, Madhu Veeraraghavan
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...
IDIOSYNCRATIC RISK AND AUSTRALIAN EQUITY RETURNS
Mike Dempsey, Michael E. Drew, Madhu Veeraraghavan
In this paper we investigate the relationship between portfolio returns and idiosyncratic risk for Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an...
ASSET PRICING IN THE ASIAN REGION
Michael E. Drew, Madhu Veeraraghavan
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small...
On the Value Premium in Malaysia
Michael E. Drew, Madhu Veeraraghavan
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth...
Multifactor Models are Alive and Well
Michael E. Drew, Madhu Veeraraghavan
A large number of studies have investigated the cross-section of average returns on common stocks in the United States and have found little relationship with the estimated beta of the single-factor...
Returns from Investing in Australian Equity Superannuation Funds, 1991 to 1999
Drew, Michael E., Stanford, Jon D.
This study tests the strong-form efficient market hypothesis for Australian equity superannuation fund returns from 1991 to 1999. The efficient market model is not rejected for the sample period,...
The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns
Adam Clements, Michael E. Drew, Evan M. Reedman
Are the returns accruing to De Bondt and Thaler’s (1985) (DT) much celebrated overreaction anomaly pervasive? Using the CRSP data set used by for the period 1926 through 1982, and, for the first...
Institutional Homogeneity and Choice in Superannuation
Adam Clements, Michael E. Drew
In this analysis of institutional investor performance, two questions are addressed. First, what degree of similarity is observed within the market place for retail superannuation funds? Second, what...
Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance
Adam Clements, Gemma Dale, Michael E. Drew
In this analysis of Australia’s superannuation arrangements it is our conjecture that the structure and conduct of the retail superannuation industry in Australia directly impacts performance,...
Superannuation: Switching and Roulette Wheels
The introduction of choice has resulted in Australia’s superannuation system providing unprecedented flexibility (through increased investment options and the timing choices) for members to...
A test of momentum trading strategies in foreign exchange markets: evidence from the G7
Robert J. Bianchi, Michael E. Drew, John Polichronis
In this trading strategy study, we ask three questions: does momentum exist in foreign exchange markets?What is the impact of transaction costs on excess returns? Can a consolidated trading signal...
A Review Of Australia's Compulsory Superannuation Scheme After A Decade
The Australian superannuation system places trustees in the key role of managing superannuation assets and we subject the role of trustee to close scrutiny while identifying the very substantial...
The Impact of Fund Attrition on Superannuation Returns
Drew, Michael E., Stanford, Jon D.
This paper investigates the impact of fund attrition on returns from a sample of superannuation fund managers (specialising in the management of domestic stock portfolios) for the period 1991 through...
Efficiency with Costly Information: A Study of Australian Wholesale Superannuation Fund Performance
Drew, Michael E., Stanford, Jon D., Veeraraghavan, Madhu
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...
Does Idiosyncratic Volatility Matter? New Zealand Evidence
Michael E. Drew, Alastair Marsden, Madhu Veeraraghavan
Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach...
HACking at Non-linearity: Evidence from Stocks and Bonds
Robert J Bianchi, Adam E Clements, Michael E Drew
The implicit assumption of linearity is an important element in empirical finance. This study presents a hypothesis testing approach which examines the linear behaviour of the conditional mean...
Idiosyncratic volatility and security returns: evidence from Germany and United Kingdom
Michael E. Drew, Mirela Malin, Tony Naughton, Madhu Veeraraghavan
Purpose – Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask...
The Case for Gender-Sensitive Superannuation Plan Design
"A key feature of superannuation plan design is the assumption that members have long and continuous periods of employment over which contributions are made. This heroic design feature has led to...