Direkt zum Inhalt

Evaluating Greek Equity Funds Using Data Envelopment Analysis

Discussion Papers 906, 17 S.

Vassilios Babalos, Guglielmo Maria Caporale, Nikolaos Philippas

2009

get_appDownload (PDF  173 KB)

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.



JEL-Classification: G14;G15;G21;G23
Keywords: Data envelopment analysis, portfolio efficiency, performance evaluation
Frei zugängliche Version: (econstor)
http://hdl.handle.net/10419/29817

keyboard_arrow_up