Spurious results in testing mutual fund performance persistence: evidence from the Greek market
Alexandros Kostakis and
Nikolaos Philippas ()
Applied Financial Economics Letters, 2007, vol. 3, issue 2, 103-108
The present study shows that failing to adjust for known risk factors in measuring fund performance can lead to spurious results in testing the persistence hypothesis. We support this argument by providing evidence from the Greek fund industry, examining also the performance persistence in this small and relatively unexplored market. Correct adjustments for risk factors and documented portfolio strategies, account for a significant part of the previously reported persistence. The intercept of the augmented Carhart regression is suggested to be the most appropriate performance measure.
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfelt:v:3:y:2007:i:2:p:103-108
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Financial Economics Letters is currently edited by Mark Taylor
More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().