Jon D. Stanford

Principal and Agent Problems in Superannuation Funds

No abstract available.

Returns from investing in Australian equity superannuation funds, 1991--1999

In this analysis of investment manager performance, two questions are addressed. First, do managers that actively trade stocks create value for investors? Second, can the multifactor model of Gruber capture the cross-section of average fund returns for the Australian setting? The answers from this study are as follows: as an industry, investment managers destroyed value for superannuation investors for the period 1991 through 1999, under-performing passive portfolio returns by 2.80–4.00 per cent per annum on a risk-unadjusted basis and 0.50–0.93 per cent per annum on a risk-adjusted basis. Evidence is provided in support of the four-factor model of Gruber; however, the model fails to capture the impact of investment style for the Australian setting. The findings suggest that Australian superannuation investors would transform their retirement savings into retirement income more efficiently through the use of passive alternatives to the stock selection problem.

The Impact of Fund Attrition on Superannuation Returns

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 1999, using a four-factor asset pricing model. Survivorship bias is estimated at 23 basis points per annum. The evidence presented in this study is consistent with recent international evidence that suggests that a sampling technique that excludes terminated funds would result in an overestimation of fund manager performance. Moreover, fund attrition has a material negative impact on the ability for superannuation fund members to obtain their retirement income objectives.

Is Superannuation Safe? The Background and the Issues

No abstract available.

Economic Analysis of the Droit de Suite - The Artist's Resale Royalty

The paper reviews Droit de Suite legislation which will provide that living artists and the estates of recently dead artists will receive a percentage royalty on resales of their work.

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

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.

Designing a conversion masters subject with flexible assessment

This paper develops a consistent approach to the design of a subject, The Economics of Financial Markets, which is a required course for a conversion Masters program. The course is a large enrolment (>50) with students coming from a number of countries and backgrounds in economics. In general, students display anxiety about theoretical aspects of the course and find it difficult to distinguish between the economics of financial markets and financial markets as taught in a standard finance course. Students display a high degree of reliance on lecturer notes and are more equipped to undertake rote learning than analysis. The subject design takes these factors into account and draws on educational principles and on economic analysis to establish the design framework. In order to distinguish the economics of financial markets from financial markets the subject design provides economic organising concepts; these are the efficiency of financial markets and the impact of financial variables on the real sector of the economy. In addition, the subject design develops a standard analytical procedure for analysis of financial instruments and financial markets. In each sector of the subject, standard analytical procedures are identified as are the specialised vocabulary of the economics of financial markets. The subject design incorporates both formative and summative assessment. The summative assessment is flexible allowing for some student choice but also providing incentives for students to undertake more than the minimum assessment tasks. The assessment instruments are related to the objectives of the course. Overall the assessment is designed to reduce student anxiety and encourage learning.