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

by Robert Bianchi, Michael E Drew, Timothy Whittaker
Abstract:
Can asset pricing models predict the future returns of publicly – listed infrastructure and public – private partnership s (PPPs) in Australia? We find that asset pricing models exhibit poor out – of – sample predictive performance when compared to simple, fixed excess return models for the period 1997 through 2012. Similar to the work of Simin (2008) for the U.S., we suggest that using the long – term historical mean return may be a reasonable starting point for superannuation funds seeking to understand the long – term expected returns of publicly – listed infrastructure and PPPs.
Reference:
The Predictability of Australian Listed Infrastructure and Public Private Partnership Returns Using Asset Pricing Models (Robert Bianchi, Michael E Drew, Timothy Whittaker), In EDHEC Business School Working Paper, 2014.