Trying but failing to ride the bull market: a random coefficient model to examine Greek mutual funds performance

Trying but failing to ride the bull market: a random coefficient model to examine Greek mutual funds performance

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Article ID: iaor2008314
Country: Greece
Volume: 2
Issue: 1
Publication Date: Jun 2006
Journal: Journal of Financial Decision Making
Authors:
Abstract:

This paper provides an empirical assessment of the performance of Greek mutual fund managers based on a random coefficient model during a strong bull market. Monthly returns for all Greek mutual funds (balanced and growth type) are examined. The conclusions can be summarized as follows: (i) Fund managers do not exhibit superior macroforecasting abilities. (ii) Betas change randomly in many funds (18 out of 34), and (iii) certain fund managers exhibit superior micro-forecasting skills (8 out of 34).

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