文章基本信息

标题：Market Timing,Selectivity and Alpha Generation:Evidence from Australian Equity Superannuation Funds
本地全文：下载
作者：Michael E.Drew ; Madhu Veeraraghavan ; Vanessa Wilson 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2005
卷号：2
期号：2
页码：111-127
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：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 is the nature of market timing/stock selectivity trade off in the generation of alpha? The answers from this study are as follows:as an industry,managers delivered inferior returns for superannuation investors for the period 1991 through 2000.The study provides little evidence that the Australian funds management industry holds sufficient macro and/or micro forecasting abilities to generate positive alpha.While previous research has found that inferior market timing decisions are compensated for by superior stock selection skills,this study finds no substantive inverse relationship between timing and selectivity.
关键词：Superannuation funds;Australia.