Short-Term Versus Longer-Term Persistence in Performance of Equity Mutual Funds: Evidence From the Greek Market

International Journal of Bonds and Derivatives, 2020 Vol.4 No.2, pp.89 - 103 (Interscience). DOI: 10.1504/IJBD.2020.109309

Posted: 7 Dec 2020

See all articles by Drosos Koutsokostas

Drosos Koutsokostas

National and Kapodistrian University of Athens

Spyros Papathanasiou

National and Kapodistrian University of Athens

Nikolaos Eriotis

National and Kapodistrian University of Athens

Date Written: August 24, 2020

Abstract

This study investigates the performance persistence of Greek equity mutual funds for the period 2 November 2009 to 31 October 2017, by utilising diverse evaluation sub-periods. Using all domestic equity mutual funds at our disposal and daily data, the authors apply the Carhart (1997) model to compute risk-adjusted returns and the non-parametric tests of Malkiel (1995), Brown and Goetzmann (1995) and Kahn and Rudd (1995) to evaluate persistence in performance. Results question a winning-picking strategy based on sustained superior performance, as only weak evidence for quarterly persistence is documented, and provide evidence of the Greek market's efficiency. Furthermore, the usage of longer evaluation periods results in the gradual disappearance of persistence in fund returns due to herding behaviour. These results suggest that fund managers follow short-term momentum strategies and investing in Greek equity mutual funds requires frequent portfolio revisions.

Keywords: equity mutual funds; risk-adjusted returns; performance persistence; non-parametric; capital controls; capital flows.

Suggested Citation

Koutsokostas, Drosos and Papathanasiou, Spyros and Eriotis, Nikolaos, Short-Term Versus Longer-Term Persistence in Performance of Equity Mutual Funds: Evidence From the Greek Market (August 24, 2020). International Journal of Bonds and Derivatives, 2020 Vol.4 No.2, pp.89 - 103 (Interscience). DOI: 10.1504/IJBD.2020.109309 , Available at SSRN: https://ssrn.com/abstract=3710692

Drosos Koutsokostas

National and Kapodistrian University of Athens ( email )

5 Stadiou Strt
Athens, 12131
Greece
10679 (Fax)

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

Nikolaos Eriotis

National and Kapodistrian University of Athens ( email )

5 Stadiou Strt
Athens, 12131
Greece

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