Evaluating Greek equity funds using Data Envelopment Analysis

Arbeitspapier

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund selection process since we are able to identify potential sources of inefficiencies for the funds. The most striking result is that the percentage of assets under management affects performance negatively, a conclusion which may be related to the structure of the domestic stock market. Furthermore, we provide evidence against the notion of funds' mean-variance efficiency.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 906

Classification and Topics

• Classification: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
• Subject: Data envelopment analysis ; portfolio efficiency ; performance evaluation ; Investmentfonds ; Portfolio-Management ; Performance Measurement ; Data-Envelopment-Analyse ; Griechenland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Babalos, Vassilios ; Caporale, Guglielmo Maria ; Philippas, Nikolaos
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/29817
• Last update: 10.03.2025, 11:43 AM CET