کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003594 937616 2012 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficiency evaluation of Greek equity funds
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Efficiency evaluation of Greek equity funds
چکیده انگلیسی

This study assesses the relative performance of Greek equity funds employing a non-parametric method, namely Data Envelopment Analysis (DEA). Specifically, we evaluate the funds’ total productivity change using the DEA-based Malmquist Index. Our results reveal significant losses in funds’ productivity for the period of 2003–2009, which calls for the attention of domestic policy makers and market regulators. Significant implications for the investors’ fund selection process arise from our analysis since we are able to identify potential sources of operational inefficiencies. Employing a panel logit model we document a significant negative relationship between the probability of being efficient and funds’ size, a finding which may be related to the microstructure of the domestic stock market. Furthermore, we provide evidence against the notion of funds’ mean-variance efficiency.


► The majority of the funds exhibit significant operational inefficiencies.
► Inefficiency is driven by funds’ expenses and incomplete risk diversification.
► Funds have experienced significant productivity losses.
► Asset size seems to have a negative effect on funds’ probability of being efficient.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 26, Issue 2, May 2012, Pages 317–333
نویسندگان
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