This paper evaluates the market timing and security selection capabilities of Australian pooled superannuation funds over the eight-year period from January 1991 to December 1998. Evaluation of both components of investment performance is surprisingly scarce in the Australian literature despite active investment managers engaging in both market timing and security selection. The paper also eval...

A simple equilibrium restriction identifies time-varying components of expected returns. Using data from the Fama and French threeand fivefactor models and momentum, we use this restriction to predict factor returns out of sample. We derive a policy for timing exposures to these components and find the modified portfolio generates returns with higher out-of-sample Sharpe ratios than the underly...

The existing literature on the role of underwriters has concentrated on underwriter certification, monitoring and marketing. However, these studies have apparently ignored the market timing role often ascribed to underwriters by practitioners. This study examines whether IPO timing is a function of the reputation of underwriters who have expertise in the financial market. In their advisory role...