Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model

Babalos, Vassilios, Mamatzakis, Emmanuel and Philippas, Nikolaos (2013) Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model. Applied Financial Economics, 23 (8). pp. 629-647. ISSN 0960-3107

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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 the evidence of a statistically and economically significant outperformance. Additionally, we examine the relationship between fund performance and a series of cost and operational attributes employing a 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: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance
Depositing User: Emmanuel Mamatzakis
Date Deposited: 14 May 2013 06:23
Last Modified: 13 Mar 2017 11:10
URI: http://sro.sussex.ac.uk/id/eprint/44696

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