32 research outputs found
Market Timing And Selectivity: An Empirical Investigation Into The Features Of Greek Mutual Fund Managers
Τhis paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of nineteen Greek managers, over a sixty-month period. Empirical evidence does not provide support for correct timing, irrespectively of how the returns of the market index are calculated. It is interesting to note that using the Total Performance Index reduces the ability of managers for selectivity. This result holds for both the models utilized in our study
Performance Evaluation: A Review Article And An Empirical Investigation Of Greek Mutual Fund Managers
This paper surveys several mutual fund performance evaluation models. The models are applied to examine the performance of Greek equity and balanced mutual funds. Specifically, the Henriksson and Merton (1981), Bhattacharya and Pfleiderer (1983) and Lockwood and Kadiyala (1988) models are applied and compared. Empirical results show that models in which beta is treated as random variable imply superior manager performance in terms of selectivity, contrary to models based on the assumption of binary betas. All models are in agreement that fund managers do not exhibit superior macro-forecasting abilities
Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange
This paper examines herd behaviour in extreme market conditions using data from the Athens Stock Exchange. We test for the presence of herding as suggested by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Results based on daily, weekly and monthly data indicate the existence of herd behaviour for the years 1998-2007. Evidence of herd behaviour over daily time intervals is much stronger, revealing the short-term nature of the phenomenon. When the testing period is broken into semi-annual sub-periods, herding is found during the stock market crisis of 1999. Investor behaviour seems to have become more rational since 2002, owing to the regulatory and institutional reforms of the Greek equity market and the intense presence of foreign institutional investors.
Mutual fund performance evaluation during periods of market turbulence: evidence from the Greek market
Share prices and ownership variables : a cross-sectional and temporal analysis
We investigate the relation between share prices and the proportion of equity held by institutional investors for a sample of 52 companies quoted on the Athens Stock Exchange over the period from 1991 to 1996. We differ from earlier studies in as much as use is made of a) an explicit share valuation model and b) temporal and cross-sectional analysis. We find no significant relationship between share prices and institutional holdings. Tentatively, we conclude that institutional investors do not see themselves as part of the decision making team in which they have a stake.peer-reviewe
Efficiency evaluation of Greek equity funds
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
Value relevance of institutional investors
In this paper we investigate the influence of institutional investors on
share prices using data from companies quoted on the Athens Stock Exchange.
For finance theorists the value of an investment, real or financial, is
a function of its expected benefits and the riskiness of these benefits. Whatever
influences are exerted by the structure of equity ownership are diversified
away by efficient risk-averse investors. Managerial and agency theorists
argue that the particular ownership structure may have an effect on share
value or returns. Their arguments are based (mainly) on the consequences of
the separation of ownership from control. In addition to traditional methods
of estimation we have used Chamberlain’s (1982) multivariate panel data
estimator, which allows for arbitrary patterns of error autocorrelation and
parameter temporal behavior. Among all alternative methods of estimation
used, only this one produced a statistically significant and econometrically
well specified relationship between share prices and institutional shareholdings.peer-reviewe
Efficiency evaluation of Greek equity funds
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
Mutual funds performance appraisal using stochastic multicriteria acceptability analysis
Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria methodology using stochastic multicriteria acceptability analysis, on Greek domestic equity funds for the period 2000–2009. Combining a unique dataset of risk-adjusted returns such as Carhart’s alpha with funds’ cost variables,we obtain a multicriteria performance evaluation and ranking of the mutual funds, by means of an additive value function model. The main conclusion is that among employed variables, the sophisticated Carhart’s alpha plays the most important role in determining fund rankings. On the
other hand, funds’ rankings are affected only marginally by operational attributes. We believe that our results could have serious implications either in terms of a fund rating system or for constructing optimal combinations of portfolios