<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset Pricing Model (CAPM), the selectivity and market timing skills of these funds are under scrutiny. This takes place by assigning a linear form to the Beta coefficient and transforming the traditional CAPM equation into a second order polynomial. Results provide evidence of an improvement in selectivity and market timing skills for the majority of these emerging funds after the outburst of the debt crisis and the adoption of measures by Troika. Thereby, the potential of excess profit-making possibilities for capable fund managers in the Greek fund market is enhanced during non-conventional periods in comparison to normal times, even though the Efficient Markets Hypothesis (EMH) still holds.</p></abstract>

This paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset Pricing Model (CAPM), the selectivity and market timing skills of these funds are under scrutiny. This takes place by assigning a linear form to the Beta coefficient and transforming the traditional CAPM equation into a second order polynomial. Results provide evidence of an improvement in selectivity and market timing skills for the majority of these emerging funds after the outburst of the debt crisis and the adoption of measures by Troika. Thereby, the potential of excess profit-making possibilities for capable fund managers in the Greek fund market is enhanced during non-conventional periods in comparison to normal times, even though the Efficient Markets Hypothesis (EMH) still holds.

Selectivity and Market Timing Skills in Emerging Greek Equity Mutual Funds During the Sovereign Debt Crisis

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

This paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset...

Selectivity and Market Timing Skills in Emerging Greek Equity Mutual Funds During the Sovereign Debt Crisis

Published Online: Oct 11, 2020

Page range: 133 - 150

DOI: https://doi.org/10.2478/sbe-2020-0030

Keywords
Sovereign debt crisis, Stock selectivity, Market timing, Greek equity mutual funds

© 2020 Kyriazis A. Nikolaos et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Selectivity and Market Timing Skills in Emerging Greek Equity Mutual Funds During the Sovereign Debt Crisis

Published Online: Oct 11, 2020

Page range: 133 - 150

DOI: https://doi.org/10.2478/sbe-2020-0030

KeywordsSovereign debt crisis, Stock selectivity, Market timing, Greek equity mutual funds

© 2020 Kyriazis A. Nikolaos et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
Sovereign debt crisis, Stock selectivity, Market timing, Greek equity mutual funds