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Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model

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  • Vassilios Babalos
  • Emmanuel Mamatzakis
  • Nikolaos Philippas

Abstract

The present study, employing a survivorship-bias free dataset, assesses the performance of Greek domestic equity funds during the period June 2001--December 2009 controlling for the thin trading risk that is inherent in the Greek stock market. Augmenting Carhart's multi-benchmark model (1997) with a stock-level liquidity factor, we document the absence of skills among domestic equity fund managers. However, at a fund level, we detect the evidence of a statistically and economically significant outperformance. Additionally, we examine the relationship between fund performance and a series of cost and operational attributes employing a robust quantile regression method. Cross-sectional results demonstrate a significant inverse relationship between fund performance and expenses. Moreover, our findings show that the larger the fund, the lower the performance.

Suggested Citation

  • Vassilios Babalos & Emmanuel Mamatzakis & Nikolaos Philippas, 2013. "Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 629-647, April.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:8:p:629-647
    DOI: 10.1080/09603107.2012.741779
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    Cited by:

    1. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2015. "Gender, style diversity, and their effect on fund performance," Research in International Business and Finance, Elsevier, vol. 35(C), pages 57-74.

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