Factors Affecting the Birth of and Fund Flows into Commodity Trading Advisors

August 31, 2014 | Author: . . . . | , ,
Read the full Working Paper Over the past two decades, the CTA industry has grown tremendously in size and scope, and it is now a unique and important part of the alternative investments asset class. This paper investigates the timing of commodity trading advisers’...

Measuring Immediate Price Impact: The Comparison between Different Price Impact Models

August 30, 2014 | Author: . . | , ,
Read the full Working Paper As a consequence of the recent technological advances and proliferation of algorithmic and high-frequency trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices,...

Is fundamental indexation able to time the market? Evidence from the Dow Jones Industrial Average

November 28, 2013 | Author: . . | , ,
Read the full Working Paper Fundamental Indexation (FI) creates a broad-based market portfolio, like traditional market capitalisation weighted indices, but weights stocks according to a firm’s economic size, not stock price. Using the Dow Jones Industrial Average...

A Review of Retirement Savings Investment Behaviours: Theory and Evidence

June 30, 2013 | Author: . . . . . . . | , ,
Read the full Working Paper This study provides a review of individual retirement savings decisions within the Australian superannuation system, and analyses when and why investors make (or don’t make) changes to their superannuation savings. Using the Mercer...