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Short-term versus longer-term persistence in performance of equity mutual funds: evidence from the Greek market

Author

Listed:
  • Drosos Koutsokostas
  • Spyros Papathanasiou
  • Nikolaos Eriotis

Abstract

This study investigates the performance persistence of Greek equity mutual funds for the period 2 November 2009 to 31 October 2017, by utilising diverse evaluation sub-periods. Using all domestic equity mutual funds at our disposal and daily data, the authors apply the Carhart (1997) model to compute risk-adjusted returns and the non-parametric tests of Malkiel (1995), Brown and Goetzmann (1995) and Kahn and Rudd (1995) to evaluate persistence in performance. Results question a winning-picking strategy based on sustained superior performance, as only weak evidence for quarterly persistence is documented, and provide evidence of the Greek market's efficiency. Furthermore, the usage of longer evaluation periods results in the gradual disappearance of persistence in fund returns due to herding behaviour. These results suggest that fund managers follow short-term momentum strategies and investing in Greek equity mutual funds requires frequent portfolio revisions.

Suggested Citation

  • Drosos Koutsokostas & Spyros Papathanasiou & Nikolaos Eriotis, 2020. "Short-term versus longer-term persistence in performance of equity mutual funds: evidence from the Greek market," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 4(2), pages 89-103.
    • Handle: RePEc:ids:ijbder:v:4:y:2020:i:2:p:89-103
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    Cited by:

    1. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.
    2. Božović, Miloš, 2022. "Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

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