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http://hdl.handle.net/10419/29817
  
Title:Evaluating Greek equity funds using Data Envelopment Analysis PDF Logo
Authors:Babalos, Vassilios
Caporale, Guglielmo Maria
Philippas, Nikolaos
Issue Date:2009
Series/Report no.:Discussion papers // German Institute for Economic Research 906
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' mean-variance efficiency.
Subjects:Data envelopment analysis
portfolio efficiency
performance evaluation
JEL:G14
G15
G21
G23
Document Type:Working Paper
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des DIW

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