Title: Short-term versus longer-term persistence in performance of equity mutual funds: evidence from the Greek market

Authors: Drosos Koutsokostas; Spyros Papathanasiou; Nikolaos Eriotis

Addresses: Hellenic Open University, 18 Parodos Aristotelous Street, GR-26335, Patra, Greece ' Faculty of Economics, National and Kapodistrian University of Athens, 1 Sofokleous and Aristidou Street, GR-10559, Athens, Greece ' Faculty of Economics, National and Kapodistrian University of Athens, 1 Sofokleous and Aristidou Street, GR-10559, Athens, Greece

Abstract: This study investigates the performance persistence of Greek equity mutual funds for the period 2 November 2009 to 31 October 2017, by utilising diverse evaluation sub-periods. Using all domestic equity mutual funds at our disposal and daily data, the authors apply the Carhart (1997) model to compute risk-adjusted returns and the non-parametric tests of Malkiel (1995), Brown and Goetzmann (1995) and Kahn and Rudd (1995) to evaluate persistence in performance. Results question a winning-picking strategy based on sustained superior performance, as only weak evidence for quarterly persistence is documented, and provide evidence of the Greek market's efficiency. Furthermore, the usage of longer evaluation periods results in the gradual disappearance of persistence in fund returns due to herding behaviour. These results suggest that fund managers follow short-term momentum strategies and investing in Greek equity mutual funds requires frequent portfolio revisions.

Keywords: equity mutual funds; risk-adjusted returns; performance persistence; non-parametric; capital controls; capital flows.

DOI: 10.1504/IJBD.2020.109309

International Journal of Bonds and Derivatives, 2020 Vol.4 No.2, pp.89 - 103

Received: 08 Jun 2018
Accepted: 26 Dec 2018
Published online: 03 Sep 2020 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article