Mutual Funds in Greece : Case Study of Domestic Equity Mutual Funds During Financial Crisis

Purpose: The purpose of this paper is to examine the performance of Greek equity mutual funds for the period 2012-2016, analyzing further selectivity and market timing ability, and short-term performance persistence for the period 2015-2016. Design/methodology/approach: Utilizing a survivorship bias controlled sample of 25 funds and daily data, the authors employ both single-index [Jensen (1968)] and multi-factor [Carhart (1997)] models to evaluate risk-adjusted returns using the General Index of Athens Stock Exchange as a benchmark. The Treynor-Mazuy (1966) and Henriksson-Merton (1981) models are used to assess the stock selection and market timing abilities of fund managers. In order to investigate short-term performance persistence, the authors implement a variety of parametric [Bollen & Busse (2005)] and non-parametric tests [Malkiel (1995), Brown & Goetzmann (1995), Kahn & Rudd (1995)].Finding: Results show that the funds under-performed the General Index, mainly due to the managers' market timing inability. Furthermore, weak evidence for short-term performance persistence has been documented.Research limitations/implications: Checking for performance persistence, it was impossible to rank funds and form deciles according to their estimated abnormal returns, as in Bollen & Busse (2005), due to the small number of mutual funds operating in Greece. Originality/value: Empirical studies regarding the performance of Greek equity mutual funds are still limited. Therefore, this paper intends to fill this gap by providing further evidence of performance evaluation