Risk Analysis of Pension Fund Investment Choices.
We provide a comprehensive and more consistent approach to analyse and compare the risk‐return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset...
| Publicado en: | Abacus Vol. 59; no. 3; pp. 872 - 899 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
Sep2023
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=hlh&AN=171349055&site=ehost-live header: @attributes: shortDbName: hlh uiTerm: 171349055 longDbName: Humanities International Complete uiTag: AN controlInfo: bkinfo: jinfo: jid: 00013072 AUB jtl: Abacus issn: 00013072 maglogo: Y pubinfo: dt: Sep2023 vid: 59 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 171349055 10.1111/abac.12264 ppf: 872 ppct: 27 formats: fmt: – @attributes: type: T – @attributes: type: P size: 278KB tig: atl: Risk Analysis of Pension Fund Investment Choices. aug: au: Bissoondoyal‐Bheenick, Emawtee Brooks, Robert Do, Hung Xuan affil: School of Economics, Finance and Marketing, College of Business, RMIT University, Melbourne, Australia Department of Banking and Finance, Monash Business School, Melbourne, Australia Department of Econometrics and Business Statistics, Monash Business School, Melbourne, Australia School of Economics and Finance, Massey University,, New Zealand International School, Vietnam National University, Hanoi, Vietnam su: Pension trusts Risk-return relationships Risk assessment Investment risk Pensions Panel analysis Institutional investors sug: subj: Pension trusts Risk-return relationships Risk assessment Investment risk Pensions Panel analysis Institutional investors keyword: Australian superannuation funds Fama‐French Five‐factor model Investment options Risk Varying coefficient panel data ab: We provide a comprehensive and more consistent approach to analyse and compare the risk‐return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coefficient panel estimation technique. We find that while risk increases across different investment options from moderate to aggressive options, using different percentages of identifying a balanced fund does not impact the long‐term risk measurement. We equally find that the risk‐return relationships of investment options are not sensitive to the modelling framework, except for the crisis analysis, in which the Fama‐French five‐factor model provides greater sensitivity. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: Y custom: Copyright of Abacus is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. item: Abacus holder: Wiley-Blackwell dt: @attributes: year: 2023 holdings: @attributes: islocal: N |
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