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Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market

Year: 2008

Type: article

Abstract: The present study examines a series of performance measures with the aim of solving the ex-post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998–2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.

Source: European Journal of Finance

DOI: 10.1080/13518470802173248

Authors: Vassilios Babalos, Guglielmo Maria Caporale, Alexandros Kostakis, Nikolaos Philippas

Institutions: University of Piraeus, Brunel University of London, University of York

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1972137394

FWCI: 2.913

Cites: 65

Cited by: 29

Related to: 10