Efficiency evaluation of Greek equity funds |
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Authors: | Vassilios Babalos Guglielmo Maria Caporale Nikolaos Philippas |
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Institution: | 1. Department of Banking & Financial Management, University of Piraeus, Greece;2. Centre for Empirical Finance, Brunel University, London, UK;3. Department of Business Administration, University of Piraeus, Greece |
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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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