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Evaluating Greek Equity Funds Using Data Envelopment Analysis

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Author Info

  • Vassilios Babalos
  • Guglielmo Maria Caporale
  • Nikolaos Philippas

Abstract

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund selection process since we are able to identify potential sources of inefficiencies for the funds. The most striking result is that the percentage of assets under management affects performance negatively, a conclusion which may be related to the structure of the domestic stock market. Furthermore, we provide evidence against the notion of funds' mean-variance efficiency.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.99857.de/dp906.pdf
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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 906.

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Length: 17 p.
Date of creation: 2009
Date of revision:
Handle: RePEc:diw:diwwpp:dp906

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Keywords: Data envelopment analysis; portfolio efficiency; performance evaluation;

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