English, Article edition: Spurious results in testing mutual fund performance persistence: evidence from the Greek market Vassilios Babalos; Alexandros Kostakis; Nikolaos Philippas

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Bookmark: http://trove.nla.gov.au/version/50937
Physical Description
  • article
Language
  • English

Edition details

Title
  • Spurious results in testing mutual fund performance persistence: evidence from the Greek market
Author
  • Vassilios Babalos
  • Alexandros Kostakis
  • Nikolaos Philippas
Physical Description
  • article
Notes
  • The present study shows that failing to adjust for known risk factors in measuring fund performance can lead to spurious results in testing the persistence hypothesis. We support this argument by providing evidence from the Greek fund industry, examining also the performance persistence in this small and relatively unexplored market. Correct adjustments for risk factors and documented portfolio strategies, account for a significant part of the previously reported persistence. The intercept of the augmented Carhart regression is suggested to be the most appropriate performance measure.
  • RePEc:taf:apfelt:v:3:y:2007:i:2:p:103-108
Language
  • English
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