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Selectivity And Market Timing Skills In Emerging Greek Equity Mutual Funds During The Sovereign Debt Crisis

Author

Listed:
  • KYRIAZIS A. Nikolas

    (Department of Economics, University of Thessaly, Greece)

  • KOULIS Alexandros

    (Department of Business Administration, Ionian University, Greece)

  • PAPADAMOU Stephanos

    (Department of Economics, University of Thessaly, Greece)

  • BENEKI Christina

    (Department of Business Administration, Ionian University, Greece)

Abstract

This paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset Pricing Model (CAPM), the selectivity and market timing skills of these funds are under scrutiny. This takes place by assigning a linear form to the Beta coefficient and transforming the traditional CAPM equation into a second order polynomial. Results provide evidence of an improvement in selectivity and market timing skills for the majority of these emerging funds after the outburst of the debt crisis and the adoption of measures by Troika. Thereby, the potential of excess profit-making possibilities for capable fund managers in the Greek fund market is enhanced during non-conventional periods in comparison to normal times, even though the Efficient Markets Hypothesis (EMH) still holds.

Suggested Citation

  • KYRIAZIS A. Nikolas & KOULIS Alexandros & PAPADAMOU Stephanos & BENEKI Christina, 2020. "Selectivity And Market Timing Skills In Emerging Greek Equity Mutual Funds During The Sovereign Debt Crisis," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 15(2), pages 133-150, August.
    • Handle: RePEc:blg:journl:v:15:y:2020:i:2:p:133-150
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