Spurious results in testing mutual fund performance persistence: evidence from the Greek market
AbstractThe present study shows that failing to adjust for known risk factors in measuring fund performance can lead to spurious results in testing the persistence hypothesis. We support this argument by providing evidence from the Greek fund industry, examining also the performance persistence in this small and relatively unexplored market. Correct adjustments for risk factors and documented portfolio strategies, account for a significant part of the previously reported persistence. The intercept of the augmented Carhart regression is suggested to be the most appropriate performance measure.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 2 ()
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- 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.
- Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2012.
"Efficiency evaluation of Greek equity funds,"
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- Babalos, Vassilios & Philippas, Nikolaos & Doumpos, Michael & Zompounidis, Constantin, 2011. "Mutual funds performance appraisal using stochastic multicriteria acceptability analysis," MPRA Paper 37953, University Library of Munich, Germany.
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