Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem: Evidence From the Greek Market
European Journal of Finance, Vol. 14, pp. 735-753, 2008
41 Pages Posted: 30 May 2007 Last revised: 15 Mar 2011
Date Written: March 13, 2011
The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.
Keywords: Mutual funds, Performance persistence, Market efficiency,Emerging markets
JEL Classification: G14, G15, G21, G23
Suggested Citation: Suggested Citation