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Efficiency evaluation of Greek equity funds

Vassilios Babalos, Guglielmo Maria Caporale and Nikolaos Philippas ()

Research in International Business and Finance, 2012, vol. 26, issue 2, 317-333

Abstract: This study assesses the relative performance of Greek equity funds employing a non-parametric method, namely Data Envelopment Analysis (DEA). Specifically, we evaluate the funds’ total productivity change using the DEA-based Malmquist Index. Our results reveal significant losses in funds’ productivity for the period of 2003–2009, which calls for the attention of domestic policy makers and market regulators. Significant implications for the investors’ fund selection process arise from our analysis since we are able to identify potential sources of operational inefficiencies. Employing a panel logit model we document a significant negative relationship between the probability of being efficient and funds’ size, a finding which may be related to the microstructure of the domestic stock market. Furthermore, we provide evidence against the notion of funds’ mean-variance efficiency.

Keywords: Data envelopment analysis; Operational efficiency; Equity funds; DEA-Malmquist productivity index (search for similar items in EconPapers)
JEL-codes: G14 G15 G21 G23 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.ribaf.2012.01.003

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