Withdrawal capacity in the face of expected and unexpected health and aged-care expenses during retirement

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Read the full Working Paper We examine the impact on retirement income levels, income stability and longevity risk of accounting for costs associated with age-related health treatment and aged-care services during the retirement phase. To measure the impact of these...

A Lifecycle Perspective of Stock Market Performance and Wellbeing

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Read the full Working Paper We estimate the effect of stock market fluctuations on subjective well-being and mental health using Australian survey data over the period 2001–12, which includes the global financial crisis. A particular innovation of the paper is the use...

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

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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’...

The Predictability of Australian Listed Infrastructure and Public-Private Partnership Returns Using Asset Pricing Models

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Read the full Working Paper Can asset pricing models predict the future returns of publicly listed infrastructure investments in Australia? This study finds that asset pricing models exhibit poor out-of-sample predictive performance when compared to simple, fixed...

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

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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,...