Mutual Funds in Greece: Case Study of Domestic Equity Mutual Funds During Financial Crisis

Managerial Finance, Vol, 43, Issue 7, pp, 812-827, 2017, DOI: 10.1108/MF-10-2016-0293

24 Pages Posted: 12 May 2017 Last revised: 15 Mar 2019

See all articles by Drosos Koutsokostas

Drosos Koutsokostas

National and Kapodistrian University of Athens

Spyros Papathanasiou

National and Kapodistrian University of Athens

Date Written: 2017

Abstract

Purpose: The purpose of this paper is to examine the performance of Greek equity mutual funds for the period 2012-2016, analyzing further selectivity and market timing ability, and short-term performance persistence for the period 2015-2016.

Design/methodology/approach: Utilizing a survivorship bias controlled sample of 25 funds and daily data, the authors employ both single-index [Jensen (1968)] and multi-factor [Carhart (1997)] models to evaluate risk-adjusted returns using the General Index of Athens Stock Exchange as a benchmark. The Treynor-Mazuy (1966) and Henriksson-Merton (1981) models are used to assess the stock selection and market timing abilities of fund managers. In order to investigate short-term performance persistence, the authors implement a variety of parametric [Bollen & Busse (2005)] and non-parametric tests [Malkiel (1995), Brown & Goetzmann (1995), Kahn & Rudd (1995)].

Finding: Results show that the funds under-performed the General Index, mainly due to the managers’ market timing inability. Furthermore, weak evidence for short-term performance persistence has been documented.

Research limitations/implications: Checking for performance persistence, it was impossible to rank funds and form deciles according to their estimated abnormal returns, as in Bollen & Busse (2005), due to the small number of mutual funds operating in Greece.

Originality/value: Empirical studies regarding the performance of Greek equity mutual funds are still limited. Therefore, this paper intends to fill this gap by providing further evidence of performance evaluation.

Keywords: Performance evaluation, Survivorship bias, Selectivity, Market timing ability, Short-term performance persistence

JEL Classification: G11,G12,G23,

Suggested Citation

Koutsokostas, Drosos and Papathanasiou, Spyros, Mutual Funds in Greece: Case Study of Domestic Equity Mutual Funds During Financial Crisis (2017). Managerial Finance, Vol, 43, Issue 7, pp, 812-827, 2017, DOI: 10.1108/MF-10-2016-0293 , Available at SSRN: https://ssrn.com/abstract=2966675

Drosos Koutsokostas (Contact Author)

National and Kapodistrian University of Athens ( email )

5 Stadiou Strt
Athens, 12131
Greece
10679 (Fax)

Spyros Papathanasiou

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

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