Mamatzakis, E and Babalos, Vassilios and filipas, n (2013): Fund Performance Evaluation in Greece Revisited: Evidence from the Impact of Operational Attributes. Published in: Applied Financial Economics
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Abstract
The present study, employing a survivorship-bias free dataset, assesses the performance of Greek domestic equity funds during the period June 2001-December 2009 controlling for the thin trading risk that is inherent in the Greek stock market. Augmenting Carhart’s multi benchmark model (1997) with a stock–level liquidity factor we document the absence of skills among domestic equity fund managers. However, at a fund level, we detect evidence of a statistically and economically significant outperformance that might be related to a conjectured incentive effect. In a second stage analysis, we examine the relationship between fund performance and a series of cost and operational attributes employing the robust quantile regression method. Cross sectional results demonstrate a significant inverse relationship between fund performance and expenses. Moreover, our findings show that the larger the fund the lower the performance.
Item Type: | MPRA Paper |
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Original Title: | Fund Performance Evaluation in Greece Revisited: Evidence from the Impact of Operational Attributes |
Language: | English |
Keywords: | Equity funds, cost attributes, robust quantile regressions. |
Subjects: | G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance ; Insurance Companies ; Actuarial Studies G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors |
Item ID: | 51640 |
Depositing User: | emmanuel c mamatzakis |
Date Deposited: | 22 Nov 2013 05:49 |
Last Modified: | 28 Sep 2019 16:35 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/51640 |