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Efficiency evaluation of Greek equity funds

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  • Babalos, Vassilios
  • Caporale, Guglielmo Maria
  • Philippas, Nikolaos

Abstract

This study assesses the relative performance of Greek equity funds employing a non-parametric method, namely Data Envelopment Analysis (DEA). Specifically, we evaluate the funds’ total productivity change using the DEA-based Malmquist Index. Our results reveal significant losses in funds’ productivity for the period of 2003–2009, which calls for the attention of domestic policy makers and market regulators. Significant implications for the investors’ fund selection process arise from our analysis since we are able to identify potential sources of operational inefficiencies. Employing a panel logit model we document a significant negative relationship between the probability of being efficient and funds’ size, a finding which may be related to the microstructure of the domestic stock market. Furthermore, we provide evidence against the notion of funds’ mean-variance efficiency.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 26 (2012)
Issue (Month): 2 ()
Pages: 317-333

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Handle: RePEc:eee:riibaf:v:26:y:2012:i:2:p:317-333

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Web page: http://www.elsevier.com/locate/ribaf

Related research

Keywords: Data envelopment analysis; Operational efficiency; Equity funds; DEA-Malmquist productivity index;

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References

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Cited by:
  1. Arjomandi, Amir & Valadkhani, Abbas & O’Brien, Martin, 2014. "Analysing banks’ intermediation and operational performance using the Hicks–Moorsteen TFP index: The case of Iran," Research in International Business and Finance, Elsevier, vol. 30(C), pages 111-125.
  2. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
  3. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

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