Title: On performance persistence in the Greek equity fund market

Authors: Konstantinos Drakos, Paris Zachouris

Addresses: Department of Economics, University of Patras, Rio University Campus, 26504, Patras, Greece. ' Department of Business Administration, University of Patras, Rio University Campus, 26500, Patras, Greece

Abstract: Utilising data for the Greek equity fund market, we empirically investigate the presence of persistence in performance. Persistence is defined as a phenomenon where relative (ranked) performance tends to repeat across successive time intervals. We apply various tests to a set of performance indicators in order to statistically assess the presence or not of persistence. Our analysis documents that persistence is stronger in shorter investment horizons, and becomes weaker as the investment horizon is increased. Overall, based on risk-adjusted returns, we conclude that persistence is sporadic and short-lived, indicating an underlying self-correcting mechanism in the Greek equity fund market, which does not allow continuation of extraordinary performances.

Keywords: equity funds; performance persistence; Greece.

DOI: 10.1504/GBER.2007.012510

Global Business and Economics Review, 2007 Vol.9 No.1, pp.75 - 91

Published online: 19 Feb 2007 *

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