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http://ssrn.com/abstract=1080912
 
 

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Short-Term Persistence in Greek Mutual Fund Performance


Daniel Giamouridis


Athens University of Economics and Business; City University London - Cass Business School - Faculty of Finance; EDHEC Risk Institute

Konstantinos Sakellariou


EFG MFMC S.A.

January 2, 2008


Abstract:     
This paper investigates the short-term performance of Greek mutual funds. We hypothesise that the returns earned by mutual fund managers are either due to their capacity in selecting successful investments ex-ante, i.e. 'selectivity', or due to their ability to increase (decrease) their exposure to market risk prior to a bullish (bearish) market, i.e. 'market timing'. Contrary to prior studies in the Greek mutual fund industry we set up our screening processes so that both stock picking and market timing ability could be identified. We carry out a battery of tests - non-parametric and parametric - to test our hypotheses. Our analysis shows that mutual fund performance does not persist over short term horizons of any kind, i.e. monthly, bi-monthly, and quarterly. These findings are robust when we use alternative settings in our empirical experiments.

Number of Pages in PDF File: 26

Keywords: Mutual funds, short-term performance, parametric tests, non-parametric tests

JEL Classification: G11, G12, G14, G23

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Date posted: January 7, 2008 ; Last revised: October 31, 2009

Suggested Citation

Giamouridis, Daniel and Sakellariou, Konstantinos, Short-Term Persistence in Greek Mutual Fund Performance (January 2, 2008). Available at SSRN: http://ssrn.com/abstract=1080912 or http://dx.doi.org/10.2139/ssrn.1080912

Contact Information

Daniel Giamouridis (Contact Author)
Athens University of Economics and Business ( email )
Department of Accounting and Finance
76 Patission Street
Athens, 10434
Greece
+30 210 820 3925 (Phone)
+30 210 820 3936 (Fax)
HOME PAGE: http://www.aueb.gr/users/dgiamour/
City University London - Cass Business School - Faculty of Finance ( email )
London, EC2Y 8HB
Great Britain
EDHEC Risk Institute ( email )
Lille
France
Konstantinos Sakellariou
EFG MFMC S.A. ( email )
10, Stadiou Str.
Athens
Greece
+30 210 33 52 856 (Phone)
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