In this trading strategy study, we ask three questions: does momentum exist in foreign exchange markets? What is the impact of transaction costs on excess returns? Can a consolidated trading signal garner excess returns and if so, what is the source of such returns? Using total return momentum...

In this trading strategy study, we ask three questions. First, does momentum exist in foreign exchange markets? Second, what is the impact of transactions costs on excess returns? And, third, can a consolidated trading signal garner excess returns and, if so, what is the source of such returns?...

Our understanding of the long-term return behavior and portfolio characteristics of public infrastructure investments is limited by a relatively short history of empirical data. We re-construct U.S. listed infrastructure index returns by mapping their monthly performance to received systematic...

What is the long-term behaviour of sustainable stock index returns and the accretive benefits to portfolio diversification? We consider these issues through the prism of a long-term investor by replicating the risk and reward behaviour of sustainable stock indices from 1927 through 2010. We find...

Purpose – This study seeks to measure the level of responsible investment (RI) disclosure of the world's largest pension funds. Design/methodology/approach – The public disclosure of environmental, social and governance factors by the world's largest pension funds reflect their genuine...

"A key feature of superannuation plan design is the assumption that members have long and continuous periods of employment over which contributions are made. This heroic design feature has led to debate on the adequacy of superannuation plans for those with interrupted employment, particularly...