This paper examines the market timing ability of a sample of 62 Australian International equity funds using the returns‐based approach of Henriksson and Merton (1981) (H&M) and Treynor and Mazuy (1966) (T&M). Specifically, the primary focus is to investigate whether market timing ability bears...

Purpose The purpose of this study is to provide new cross-country evidence on the relation between real estate investment trust (REIT) returns and idiosyncratic risk for samples of listed and unlisted REITs in the US and Australia. Design/methodology/approach Five alternative models with...

In the context of international funds, investigations have been made of a range of performance models including both domestic and international market index benchmarks and distinguishing selectivity and timing performance. A sample of Australian international equity trusts are examined over the...

type="main" <p>Employing daily data over the period 1987–2010, we examine the diversifying, hedging and safe haven properties of gold bullion, gold stocks, gold mutual funds, and gold exchange traded funds (ETFs). First, with regard to gold bullion, we document a clear and strong hedging role...</p>