Nikolaos Philippas

Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem: Evidence From the Greek Market

The present study examines a series of performance measures with the aim of solving the ex-post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998–2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.

Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market

This paper examines the dynamic interactions between mutual fund flows and security returns in an emerging capital market, namely the Greek one. It adopts a testing strategy not requiring pre-testing (which might generate severe biases) but simply augmenting the system (Toda and Yamamoto, 1995, Journal of Econometrics, 66, 225–50). The resulting statistics follow standard distributions, and valid inference can be drawn. Further, possible feedbacks from international capital markets are taken into account by including in the system the Dow Jones index. By combining causality tests and generalized impulse response analysis (as in Pesaran and Shin, 1998, Economic Letters, 58, 17–29), it is found that momentum trading is the most plausible explanation for dynamic feedbacks, and that temporary price pressures might also be a relevant factor, whilst information revelation does not appear to play a role.

Spurious results in testing mutual fund performance persistence: evidence from the Greek market

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.

Chasing trend and losing money: open end mutual fund investors’ trading behaviour in Greece

This study examines the trading behaviour of mutual fund investors, its medium-term profitability and its impact on the performance of individual funds. An important yet thinly investigated subject is examined under the prism of a small emerging stock market growing to maturity, during both a strong bull and a violent bear market. The findings of this study are insightful: Mutual fund investors do not chase past returns. The empirical evidence also suggests that they do not hunt past superior performance. However, they do seem to employ a current-performance momentum screen to pick their funds, while their trading behaviour doesn’t seem to affect the concurrent performance of the fund. Finally, it is claimed that mutual fund investors are perverse fund pickers. The suggested conclusion can only be that money is inefficiently invested in mutual funds.

Foreign direct investment determinants in OECD and developing countries

In this paper we examine the foreign direct investment (FDI) inflow determinants in 24 Organisation for Economic Co-operation and Development (OECD) and 22 developing (non-OECD) countries over 1980–2012, using the standard fixed effects as well as a dynamic panel approach. The most robust finding is that lagged FDI, market size, gross capital formation and corporate taxation significantly affect FDI inflows in OECD countries. We also examine a group of developing countries, taking into consideration the increased share of world FDI inflows that developing countries have attracted, and compare the results. In this case, lagged FDI, market size, labor cost and institutional variables provide the most robust results. The empirical results have important policy implications indicating the factors that host economies should emphasize in order to attract FDI inflows.

Estimating performance aspects of Greek equity funds with a liquidity-augmented factor model

The present study, employing a survivorship-bias free dataset, assesses the performance of Greek domestic equity funds during the period June 2001–December 2009 controlling for the thin trading risk that is inherent in the Greek stock market. Augmenting Carharts multi-benchmark model (1997) with a stock-level liquidity factor, we document the absence of skills among domestic equity fund managers. However, at a fund level, we detect the evidence of a statistically and economically significant outperformance. Additionally, we examine the relationship between fund performance and a series of cost and operational attributes employing a robust quantile regression method. Cross-sectional results demonstrate a significant inverse relationship between fund performance and expenses. Moreover, our findings show that the larger the fund, the lower the performance.

Value relevance of institutional investors

In this paper we investigate the influence of institutional investors on share prices using data from companies quoted on the Athens Stock Exchange. For finance theorists the value of an investment, real or financial, is a function of its expected benefits and the riskiness of these benefits. Whatever influences are exerted by the structure of equity ownership are diversified away by efficient risk-averse investors. Managerial and agency theorists argue that the particular ownership structure may have an effect on share value or returns. Their arguments are based (mainly) on the consequences of the separation of ownership from control. In addition to traditional methods of estimation we have used Chamberlain’s (1982) multivariate panel data estimator, which allows for arbitrary patterns of error autocorrelation and parameter temporal behavior. Among all alternative methods of estimation used, only this one produced a statistically significant and econometrically well specified relationship between share prices and institutional shareholdings.

Does herd behaviour exist in the commodities market

During the last decade commodities have attracted both retail and institutional investors’ interest due to their intense financialisation and the increased demand from the emerging markets (China, India, etc.). These new market conditions have caused concern about the possible effect on commodities prices and the relevant increase in their volatility. Under such circumstances a well known behaviour in the financial markets may evolve, the herd behaviour. This paper examines the existence of herding in the commodities market using monthly data of 50 primary commodities for the period 1/1980–3/2013. We employ the classical herding methodology of Chang et al. (2000) in the commodities market for the first time, augmenting the standard model with several explanatory variables. Even though there is no evidence of herding towards the market for the whole period under examination, we identify herding for specific sub-periods, as well as herding towards the gold returns.

Investors’ fear and herding in the stock market

ABSTRACT In this article, we examine herding in three developed stock markets testing for the impact of investors’ ‘fear’ on herding estimations. To this end, we employ daily data of all listed stocks from USA, UK and Germany from January 2004 to July 2014. We examine herd behaviour applying the cross-sectional dispersion approach. Moreover, we investigate the asymmetric herding behaviour under different market states and sub-periods. The stock markets under examination provide comparable implied volatility indices which are used as a proxy for fear. As a result, apart from the standard herding estimations within and across markets, we also augment the benchmark model with the fear indicator. Our empirical results document the statistically significant impact of fear on herding estimations. Moreover, there is evidence of cross market herding as well as evidence of herding in the UK during specific sub-periods.

Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in performance and risk are found between female and male managed funds. However, perverse market timing manifests itself mainly in female managed funds and in the left tail of the returns distribution. Interestingly, at fund level there is evidence of significant overperformance that survives even after accounting for funds’ exposure to known risk factors. Employing a quantile regression approach reveals that fund performance is highly dependent on the selection of the specific quantile of the returns distribution; also, style consistency for male and female managers manifests itself across different quantiles. These results have important implications for fund management companies and for retail investors’ asset allocation strategies.