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Short-Term Persistence in Greek Mutual Fund Performance

26 Pages Posted: 7 Jan 2008 Last revised: 31 Oct 2009

Daniel Giamouridis

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

Konstantinos Sakellariou

EFG MFMC S.A.

Date Written: 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.

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

JEL Classification: G11, G12, G14, G23

Suggested Citation

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

Daniel Giamouridis (Contact Author)

Bank of America - Bank of America Merrill Lynch ( email )

United Kingdom

Athens University of Economics and Business ( email )

Department of Accounting and Finance
Greece

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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