Mutual funds in Greece: case study of domestic equity mutual funds during a financial crisis

Abstract

Purpose The purpose of this paper is to examine the performance of Greek equity mutual funds for the period 2012-2016, analyzing further the selectivity and market timing ability, and short-term performance persistence for the period 2015-2016. Design/methodology/approach Utilizing a survivorship-bias-controlled sample of 25 funds and daily data, the authors use single-index (Jensen, 1968) and multi-factor (Carhart, 1997) models to evaluate risk-adjusted returns using the General Index of Athens Stock Exchange as a benchmark. The Treynor-Mazuy (1966) and Henriksson-Merton (1981) models are used to assess the stock selection and market timing abilities of fund managers. In order to investigate short-term performance persistence, the authors implement a variety of parametric (Bollen and Busse, 2005) and nonparametric tests (Malkiel, 1995; Brown and Goetzmann, 1995; Kahn and Rudd, 1995). Findings Results show that the funds underperformed the General Index, mainly due to the managers’ market timing inability. Furthermore, weak evidence for short-term performance persistence has been documented. Research limitations/implications Checking for performance persistence, it was impossible to rank funds and form deciles according to their estimated abnormal returns, as in Bollen and Busse (2005), due to the small number of mutual funds operating in Greece. Originality/value Empirical studies regarding the performance of Greek equity mutual funds are still limited. Therefore, this paper intends to fill this gap by providing further evidence of performance evaluation.

Adjusting for risk factors in mutual fund performance and performance persistence

“…On the other hand, the parametric procedure requires that the fund achieve similar abnormal performance relating to the benchmark used in the next period. In this way, it is possible for a fund to be categorized as a winner using the nonparametric tests, while it would have achieved a negative abnormal return (Koutsokostas and Papathanasiou, 2017; Koutsokostas et al , 2018).…”

The static and dynamic connectedness of environmental, social, and governance investments: International evidence

“…According to the European Sustainable Investment Fund (EUROSIF), the last two decades show clear signs of SRI becoming integral to European fund management, while ESG integration, which remains by far the preferred strategy, has grown by 60%. In addition, ESG equity mutual funds have attracted record net flows in recent years ( Koutsokostas and Papathanasiou, 2017 ; Koutsokostas et al., 2019 ). Europe accounts for the largest concentration of ESG assets worldwide, totaling $14.1 trillion in 2018, followed by the US with $12 trillion; the latter increased by 38% from 2016.…”

The connectedness between Sukuk and conventional bond markets and the implications for investors

“…The increasing demand for this instrument has resulted in the remarkable growth of the Islamic financial system in the Eastern world (Said and Grassa, 2013; Afshar and Muhtaseb, 2014; Tabash and Dhankar, 2014; Chermi and Jerbi, 2015; Nawaz, 2019). While the Sukuk market has flourished in Muslim counties, these instruments have been recently starting to be embedded in the Western world’s conventional financial markets (Koutsokostas and Papathanasiou, 2017; Koutsokostas et al , 2018, 2019).…”