Greek domestic equity funds

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dc.contributor.authorTsaka, Ioannaen
dc.date.accessioned2015-03-23T12:49:16Z
dc.date.available2015-09-27T06:05:01Z
dc.date.issued2015-03-23
dc.identifier.urihttps://repository.ihu.edu.gr/xmlui/handle/11544/38
dc.rightsDefault License
dc.titleGreek domestic equity fundsen
heal.abstractThe 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.en
heal.academicPublisherSchool of Economics, Business Administration and Legal Studies, MSc in Banking and Financeen
heal.academicPublisherIDihu
heal.accessfreeel
heal.advisorNameGrose, Dr. Christosen
heal.bibliographicCitationTsaka Ioanna, 2011 , Greek domestic equity funds : performance and persistence in performance ,Master's Dissertation, International Hellenic Universityen
heal.committeeMemberNameGrose, Dr. Christosen
heal.committeeMemberNameArtikisen
heal.committeeMemberNameTsekrekosen
heal.committeeMemberNameGiamouridisen
heal.fullTextAvailabilitytrue
heal.keywordCapital asset pricing modelen
heal.keywordMutual funds--Greeceen
heal.keywordDissertations, Academicen
heal.languageen
heal.licensehttp://creativecommons.org/licenses/by-nc/4.0
heal.numberOfPages82
heal.publicationDate2011-09
heal.recordProviderSchool of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.secondaryTitlePerformance and persistence in performanceen
heal.tableOfContentsAcknowledgements ................................................................................................................... 1 Abstract ..................................................................................................................................... 2 List of Tables .............................................................................................................................. 5 List of Figures ............................................................................................................................. 6 1. Introduction ....................................................................................................................... 7 1.2 Organization of the Study .......................................................................................... 8 2 Literature Review and Industry Overview ......................................................................... 9 2.1 Literature Review ...................................................................................................... 9 2.2 Industry Overview ................................................................................................... 17 2.2.1 How Do Mutual Funds Work? Definition and Categories ............................... 17 2.2.2 A Brief History of the Mutual Fund ................................................................. 18 2.2.2.1 In the Beginning ........................................................................................... 18 2.2.2.2 The Arrival of the Modern Fund .................................................................. 19 2.3 A Present Glance Worldwide ................................................................................... 20 2.4 The Mutual Fund Market in Greece ........................................................................ 22 3 Data Set ........................................................................................................................... 25 3.1 Survivorship Bias ...................................................................................................... 26 4 Methodology ................................................................................................................... 27 4.1 Performance Measures adopted to evaluate the performance of the Funds ........ 28 4.1.1 Single –factor performance model: Jensen’s alpha coefficient ...................... 28 4.1.2 Market Timing model ...................................................................................... 29 4.1.3 Cubic Timing model ......................................................................................... 30 4.2 Persistence .............................................................................................................. 30 4.3 Limitations of the Research ..................................................................................... 31 5. Empirical Results/Analysis ............................................................................................... 32 5.1 Performance Results ............................................................................................... 33 5.1.1 Performance results using Jensen’s Alpha Coefficient .................................... 33 5.1.2 Performance results using Market Timing model ........................................... 35 5.1.3 Performance results using Cubic Timing model .............................................. 38 Greek domestic equity funds: measuring performance and persistence in performance 4 5.1.4 Previous studies: a comparison ....................................................................... 40 5.1.4.1 Jensen’s alpha coefficient ........................................................................... 40 5.1.4.2 Quadratic model .......................................................................................... 40 5.1.4.3 Cubic model ................................................................................................. 42 5.2 Persistence Results .................................................................................................. 43 5.2.1 Previous studies: a comparison ....................................................................... 46 6 Conclusion and Recommendations ................................................................................. 47 6.1 Investment Strategies .............................................................................................. 48 6.2 Recommendations for Further Research ................................................................ 49 References ............................................................................................................................... 50 Appendices .............................................................................................................................. 58 Appendix 1: Domestic Equity Fund Names Tables ............................................................. 58 Appendix 2: Summary Statistics of Performance Measures ............................................... 60 Appendix 3: Persistence Results per Fund .......................................................................... 66en
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