Evaluating Greek equity funds using data envelopment analysis

Babalos, Vassilis and Caporale, Guglielmo Maria and Philippas, Nikolaos (2009) Evaluating Greek equity funds using data envelopment analysis. Centre for International Capital Markets discussion papers, 2009 (12). pp. 1-19. ISSN 1749-3412

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Abstract

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' meanvariance efficiency.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; data envelopment analysis; portfolio efficiency; performance evaluation
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 21 Apr 2015 09:29
Last Modified: 21 Apr 2015 09:29
URI: http://repository.londonmet.ac.uk/id/eprint/440

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