Faced with an ageing population, governments are shifting the financial responsibility for retirement to their citizens. Employers, too, are shifting this responsibility to employees, with most now offering defined-contribution retirement plans. Yet it is widely acknowledged that consumers do...

We construct a time-varying factor model of hedge fund returns that accounts for market risk, leverage, illiquidity and tail events. We also adjust for database biases arising from voluntary self-reporting. Using a constant beta model, we find no evidence of excess returns for the average hedge...

Stronger investor interest in commodities may create closer integration with conventional asset markets. We estimate sudden and gradual changes in correlation between stocks, bonds and commodity futures returns driven by observable financial variables and time, using double smooth transition...

The past few decades have witnessed a global move towards private provision for retirement through individual defined contribution pensions at the expense of publicly provided and employer-sponsored defined benefit pensions. As a consequence, workers and retirees are becoming increasingly...

Regulations restricting investment by pension funds in high-risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. We analyze contagion from U.S. equity markets to emerging market autarchic assets (Colombian private pension funds) during the...

Households in many developed economies now reach retirement with lump sums of financial wealth accumulated through defined contribution retirement plans. Managing wealth from individual accumulations and public provision is critical to retirement welfare. We study the dynamics of retirement...

type="main" xml:id="ecor12107-abs-0001" <p>Low levels of non-default decision-making among superannuation members in Australia are assumed to be evidence of a lack of interest and capability. Using member records and survey data from a large Australian superannuation fund, we test the relationship...</p>

Little empirical work has been done on the return properties of infrastructure as an asset class despite increased allocations by institutional investors. Managers claim infrastructure investments offer real return benefits via a combination of monopolistic and defensive assets. We build a...