Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3434
Title: Evaluating Greek equity funds using data envelopment analysis
Authors: Babalos, V
Caporale, GM
Philippas, N
Keywords: data envelopment analysis; portfolio efficiency; performance evaluation
Issue Date: 2009
Publisher: Brunel University
Citation: Economics and Finance Discussion Paper, Brunel University, 09-22.
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 e¤ect 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.
URI: http://bura.brunel.ac.uk/handle/2438/3434
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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