IDEAS home Printed from https://ideas.repec.org/a/ers/journl/vviy2003i3-4p27-38.html
   My bibliography  Save this article

Risk Measurement Of The Bond Mutual Funds Operating In Greece

Author

Listed:
  • Dr John N. Sorros

Abstract

The present article aims to measure and analyze the systematic risk undertaken by the Greek bond mutual funds. The capital asset pricing model is applied using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, and a specific Bond Index. The performance of twenty-eight mutual funds is affected, and can be explained to a satisfactory level by the movements in the Bond Index. On the contrary, in only fifteen mutual funds the performance is affected, and can be explained to a satisfactory level by the movements in the General Index of the ASE. The empirical evidence suggests that the Bond Index approximates the market portfolio much closer than the General Index of the Athens Stock Exchange.

Suggested Citation

  • Dr John N. Sorros, 2003. "Risk Measurement Of The Bond Mutual Funds Operating In Greece," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 27-38, July - De.
  • Handle: RePEc:ers:journl:v:vi:y:2003:i:3-4:p:27-38
    as

    Download full text from publisher

    File URL: http://www.ersj.eu/repec/ers/papers/03_34-p2.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Jeffrey D. Sachs & Andrew M. Warner, 1995. "Economic Convergence and Economic Policies," Harvard Institute of Economic Research Working Papers 1715, Harvard - Institute of Economic Research.
    2. Ray, Subhash C & Desli, Evangelia, 1997. "Productivity Growth, Technical Progress, and Efficiency Change in Industrialized Countries: Comment," American Economic Review, American Economic Association, pages 1033-1039.
    3. Oulton,Nicholas & O'Mahony,Mary, 1994. "Productivity and Growth," Cambridge Books, Cambridge University Press, number 9780521453455, December.
    4. Jeffrey Sachs & Andrew M. Warner, 1995. "Economic Convergence and Economic Policies," CASE Network Studies and Analyses 0035, CASE-Center for Social and Economic Research.
    5. Jeffrey Sachs & Andrew M. Warner, 1995. "Economic Convergence and Economic Policies," CASE Network Studies and Analyses 0035, CASE-Center for Social and Economic Research.
    6. Charnes, A. & Cooper, W. W. & Rhodes, E., 1978. "Measuring the efficiency of decision making units," European Journal of Operational Research, Elsevier, vol. 2(6), pages 429-444, November.
    7. James R. Tybout, 2001. "Plant- and Firm-Level Evidence on "New" Trade Theories," NBER Working Papers 8418, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Mutual funds; bond; bond index; capital asset pricing model;

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ers:journl:v:vi:y:2003:i:3-4:p:27-38. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marios Agiomavritis). General contact details of provider: http://www.ersj.eu/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.