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Efficiency evaluation of Greek equity funds

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  • Vassilios, Babalos
  • Guglielmo-Maria, Caporale
  • 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

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 37954.

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Date of creation: May 2012
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Handle: RePEc:pra:mprapa:37954

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

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Cited by:
  1. 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, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Mohammad Reza TAVAKOLI BAGHDADABAD & Afsaneh NOORI HOUSHYAR, 2014. "Productivity and Efficiency Evaluation of US Mutual Funds," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 120-143, March.
  3. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
  4. 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, Elsevier, vol. 30(C), pages 111-125.

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