Fundamental indexing based on accounting valuation has drawn significant interest from academics and practitioners in recent times as an alternative to capitalisation weighted indexing based on market valuation. This paper investigates the claims of superiority of fundamental indexation strategy...

Hedging against tail events has been forcefully advocated in the aftermath of recent global financial crisis. Whether this is beneficial to long horizon investors like defined contribution (DC) plan participants, however, has been subject to criticism. We conduct historical simulation since 1928...

This study presents an improved method of dealing with embedded tax liabilities in portfolio choice. We argue that using a risk-free discount rate is appropriate for calculating the present value of future tax liabilities. Supportive of recent research, our results found a taxation-induced...

Lifecycle funds offered to retirement plan participants gradually reduce their exposure to stocks as they approach the target date of retirement. We show that such deterministic switching rules produce inferior wealth outcomes for the investor compared to strategies that dynamically alter the...

Lifecycle funds offered to retirement plan participants gradually reduce their exposure to stocks as they approach the target date of retirement. We show that such deterministic switching rules produce inferior wealth outcomes for the investor compared to strategies that dynamically alter the...

We compare the performance of the commonly nominated default retirement investment option, the lifecycle fund, to alternative investment strategies during retirees' decumulation phase. Under different shortfall risk measures, we find balanced portfolios with constant exposure to equities, equity...

We find negative relationship between historical price-earnings (P/E) ratio and following year's stock returns in Australia and New Zealand. The existence of P/E effect is consistent with prior research in US market but the effect seems to be stronger and short-lived. Whilst the excess returns...