Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model

• Autores: Vassilios Babalos, E. Mamatzakis, Nikolaos Philippas
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 23, Nº. 7-9, 2013, págs. 629-647
• Idioma: inglés
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• Resumen

  • The present study, employing a survivorship-bias free dataset, 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 the evidence of a statistically and economically significant outperformance. Additionally, we examine the relationship between fund performance and a series of cost and operational attributes employing a 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.