Evaluating Greek Equity Funds Using Data Envelopment Analysis

Vassilios Babalos, Guglielmo Maria Caporale and Nikolaos Philippas

No 906, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund selection process since we are able to identify potential sources of inefficiencies for the funds. The most striking result is that the percentage of assets under management affects performance negatively, a conclusion which may be related to the structure of the domestic stock market. Furthermore, we provide evidence against the notion of funds' mean-variance efficiency.

Keywords: Data envelopment analysis; portfolio efficiency; performance evaluation (search for similar items in EconPapers)
JEL-codes: G14 G15 G21 G23 (search for similar items in EconPapers)
Pages: 17 p.
Date: 2009
New Economics Papers: this item is included in nep-eff
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