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

journal contribution
posted on 2023-06-08, 14:56 authored by Vassilios Babalos, Emmanuel Mamatzakis, Nikolaos Philippas
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.

History

Publication status

  • Published

File Version

  • Published version

Journal

Applied Financial Economics

ISSN

0960-3107

Publisher

Taylor & Francis

Issue

8

Volume

23

Page range

629-647

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2013-05-14

First Compliant Deposit (FCD) Date

2013-05-14

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