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| Tekijä: | Babalos, V.(et al.) |
| Otsikko: | Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market |
| Lehti: | European Journal of Finance
2008 : OCT-DEC, VOL. 14:7-8, p. 735-753 |
| Asiasana: | funds performance measurement market efficiency emerging markets Greece model testing |
| Vapaa asiasana: | mutual persistence ex-post verification problem testing |
| Kieli: | eng |
| Tiivistelmä: | Based on the Greek market model, the author examines a series of performance measures with the aim of solving the ex-post verification problem and tests the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004.The articles derives correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. |
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