Short-Term Persistence in Greek Mutual Fund Performance
Bank of America - Bank of America Merrill Lynch; Athens University of Economics and Business; City University London - Cass Business School - Faculty of Finance; EDHEC Risk Institute
EFG MFMC S.A.
January 2, 2008
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
Date posted: January 7, 2008 ; Last revised: October 31, 2009
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