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

Vassilios Babalos, Emmanuel Mamatzakis and Nikolaos Philippas

Applied Financial Economics, 2013, vol. 23, issue 8, 629-647

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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:23:y:2013:i:8:p:629-647

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DOI: 10.1080/09603107.2012.741779

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