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On performance persistence in the Greek equity fund market

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Author Info

  • Konstantinos Drakos
  • Paris Zachouris

Abstract

Utilising data for the Greek equity fund market, we empirically investigate the presence of persistence in performance. Persistence is defined as a phenomenon where relative (ranked) performance tends to repeat across successive time intervals. We apply various tests to a set of performance indicators in order to statistically assess the presence or not of persistence. Our analysis documents that persistence is stronger in shorter investment horizons, and becomes weaker as the investment horizon is increased. Overall, based on risk-adjusted returns, we conclude that persistence is sporadic and short-lived, indicating an underlying self-correcting mechanism in the Greek equity fund market, which does not allow continuation of extraordinary performances.

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File URL: http://www.inderscience.com/link.php?id=12510
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Bibliographic Info

Article provided by Inderscience Enterprises Ltd in its journal Global Business and Economics Review.

Volume (Year): 9 (2007)
Issue (Month): 1 ()
Pages: 75-91

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Handle: RePEc:ids:gbusec:v:9:y:2007:i:1:p:75-91

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Web page: http://www.inderscience.com/browse/index.php?journalID=168

Related research

Keywords: equity funds; performance persistence; Greece.;

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Cited by:
  1. Chris GROSE & Theodoros KARGIDIS, 2012. "Persistence In Performance For Mutual Funds In Periods Of Crisis," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(1), pages 85-98.

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