What is it about?
This study investigates the performance persistence of Greek equity mutual funds for the period 2 November 2009 to 31 October 2017, by utilising diverse evaluation sub-periods.
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Why is it important?
Using all domestic equity mutual funds at our disposal and daily data, the authors apply the Carhart (1997) model to compute risk-adjusted returns and the non-parametric tests of Malkiel (1995), Brown and Goetzmann (1995) and Kahn and Rudd (1995) to evaluate persistence in performance.
Perspectives
Results question a winning-picking strategy based on sustained superior performance, as only weak evidence for quarterly persistence is documented, and provide evidence of the Greek market's efficiency. Furthermore, the usage of longer evaluation periods results in the gradual disappearance of persistence in fund returns due to herding behaviour.These results suggest that fund managers follow short-term momentum strategies and investing in Greek equity mutual funds requires frequent portfolio revisions.
Dr Spyros Papathanasiou
National and Kapodistrian University of Athens
Read the Original
This page is a summary of: Short-term versus longer-term persistence in performance of equity mutual funds: evidence from the Greek market, International Journal of Bonds and Derivatives, January 2020, Inderscience Publishers,
DOI: 10.1504/ijbd.2020.109309.
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