Risk Analysis of Pension Fund Investment Choices

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dc.citation.issue3
dc.citation.volume59
dc.contributor.authorBissoondoyal‐Bheenick E
dc.contributor.authorBrooks R
dc.contributor.authorDo X
dc.date.accessioned2024-07-15T02:53:15Z
dc.date.available2024-07-15T02:53:15Z
dc.date.issued2023-09-01
dc.description.abstractWe 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.
dc.description.confidentialfalse
dc.edition.editionSeptember 2023
dc.format.pagination872-898
dc.identifier.citationBissoondoyal-Bheenick E, Brooks R, Do HX. (2023). Risk Analysis of Pension Fund Investment Choices. Abacus. 59. 3. (pp. 872-898).
dc.identifier.doi10.1111/abac.12264
dc.identifier.eissn1467-6281
dc.identifier.elements-typejournal-article
dc.identifier.issn0001-3072
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/70181
dc.languageEnglish
dc.publisherJohn Wiley and Sons, Inc.
dc.publisher.urihttps://onlinelibrary.wiley.com/doi/10.1111/abac.12264
dc.relation.isPartOfAbacus
dc.rights(c) 2022 The Author/s
dc.rightsCC BY-NC-ND 4.0
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectAustralian superannuation funds
dc.subjectFama-French
dc.subjectFive-factor model
dc.subjectInvestment options
dc.subjectRisk
dc.subjectVarying coefficient panel data
dc.titleRisk Analysis of Pension Fund Investment Choices
dc.typeJournal article
pubs.elements-id462325
pubs.organisational-groupOther
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