Greek domestic equity funds
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Ημερομηνία
2015-03-23
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Tsaka Ioanna, 2011 , Greek domestic equity funds : performance and persistence in performance ,Master's Dissertation, International Hellenic University
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The present study investigates the performance and persistence in performance of Greek domestic equity mutual funds, using a survivorship-bias controlled sample of 66 funds for the period of 2005-2010. The methods applied for performance measure are the Jensen’s alpha coefficient, based on Capital Asset Pricing Model (CAPM), the quadratic Treynor and Mazuy model and the Cubic model. The second empirical part includes a persistency test on the fund sample using again Jensen’s alpha coefficient on six month horizon. The overall results suggest that Greek equity mutual funds have not been able to provide out-performance since alpha coefficients are insignificantly different from zero. In addition, there is no evidence of timing abilities by the fund managers. At a six month horizon, evidence of persistence for the whole sample (surviving, non-surviving funds) is observed.