Vassilios, Babalos and Guglielmo-Maria, Caporale and Philippas, Nikolaos (2012): Efficiency evaluation of Greek equity funds. Published in: Research in International Business and Finance , Vol. 26, (May 2012): pp. 317-333.
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This study assesses the relative performance of Greek equity funds employing a non-parametric method, namely Data Envelopment Analysis (DEA). Specifically, we evaluate the funds’ total productivity change using the DEA-based Malmquist Index. Our results reveal significant losses in funds’ productivity for the period of 2003–2009, which calls for the attention of domestic policy makers and market regulators. Significant implications for the investors’ fund selection process arise from our analysis since we are able to identify potential sources of operational inefficiencies. Employing a panel logit model we document a significant negative relationship between the probability of being efficient and funds’ size, a finding which may be related to the microstructure of the domestic stock market.Furthermore, we provide evidence against the notion of funds’ mean-variance efficiency.
|Item Type:||MPRA Paper|
|Original Title:||Efficiency evaluation of Greek equity funds|
|English Title:||Efficiency evaluation of Greek equity funds|
|Keywords:||Data envelopment analysis,Operational efficiency,Equity funds DEA-Malmquist productivity index|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
|Depositing User:||VASSILIOS BABALOS|
|Date Deposited:||09 Apr 2012 23:50|
|Last Modified:||22 Oct 2016 14:30|
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