Estimating Performance Aspects of Greek Equity Funds with a Liquidity-Augmented Factor Model

37 Pages Posted: 3 Dec 2011

See all articles by Vassilios Babalos

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese; University of Piraeus - Department of Banking and Financial Management

Nikolaos Philippas

University of Piraeus - Department of Business Administration

Emmanuel C. Mamatzakis

University of Sussex - School of Business, Management and Economics

Date Written: December 3, 2011

Abstract

The present study, employing a survivorship-bias free data-set, 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 evidence of a statistically and economically significant out-performance that might be related to a conjectured incentive effect. In a second stage analysis, we examine the relationship between fund performance and a series of cost and operational attributes employing the 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.

Keywords: Mutual funds, multi-factor models, liquidity, incentive effect, quantile regression

JEL Classification: G14, G15, G21, G23

Suggested Citation

Babalos, Vassilios and Philippas, Nikolaos and Mamatzakis, Emmanuel C., Estimating Performance Aspects of Greek Equity Funds with a Liquidity-Augmented Factor Model (December 3, 2011). Available at SSRN: https://ssrn.com/abstract=1967824 or http://dx.doi.org/10.2139/ssrn.1967824

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese ( email )

Antikalamos
Kalamata, KALAMATA 24100
Greece

HOME PAGE: http://www.teikal.gr

University of Piraeus - Department of Banking and Financial Management ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

Nikolaos Philippas (Contact Author)

University of Piraeus - Department of Business Administration ( email )

80, Karaoli & Dimitriou, Piraueus
Athens, 18534
Greece

Emmanuel C. Mamatzakis

University of Sussex - School of Business, Management and Economics ( email )

Falmer, Brighton BN1 9SL
United Kingdom

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
53
Abstract Views
593
rank
430,186
PlumX Metrics