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Fund Performance Evaluation in Greece Revisited: Evidence from the Impact of Operational Attributes

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.

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