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dc.contributor.author
Velikis, Pashalis
en
dc.date.accessioned
2015-06-10T11:21:37Z
dc.date.available
2015-09-27T05:57:00Z
dc.date.issued
2015-06-10
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/260
dc.rights
Default License
dc.title
An investigation of mutual fund investment behavior in Northern Europe
en
heal.type
masterThesis
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.publicationDate
2013-12
heal.bibliographicCitation
Velikis Pashalis, 2013, An investigation of mutual fund investment behavior in Northern Europe ,Master's Dissertation, International Hellenic University
en
heal.abstract
This paper evaluates the performance of a number of open-ended mutual fund managers, over the period 2002:02 to 2012:12 and over various sub-periods, in Finland (24 mutual funds), Sweden (31 mutual funds), and Norway (23 mutual funds). To this end, relative return ratios are employed, such as the Sharpe measure and the Treynor measure, which compare the portfolio’s excess return to a measure of risk. As a benchmark portfolio a relevant stock market index is used each market (HEX Index in the case of Finland, the OSEBX index in the case of Norway, and the OMX index in the case of Sweden). According to relative-return ratios of performance, only Finish mutual-fund managers managed to beat the market, while the consistency of their marketing-beating record was not high across the two sub-periods under examination. By contrast, the overwhelming majority of Swedish and Norwegian mutual funds did not beat the market. Also, contrary to Norwegian and Swedish fund managers, the majority of Finish mutual managers achieved positive alpha estimates in their portfolios. Finally, no fund manager exhibited positive market-timing skills.
en
heal.tableOfContents
1 INTRODUCTION .............................................................................................................................................. 1 2 LITERATURE REVIEW .................................................................................................................................. 3 2.1 MEASURES OF PORTFOLIO PERFOMANCE ............................................................................................ 3 2.1.1 Relative Measures of Mutual Fund Performance .................................................................................. 3 2.1.2 Excess Return Methods .......................................................................................................................... 5 2.2 MEASURE OF OVERALL PORTFOLIO PERFOMANCE .......................................................................... 9 2.3 RESULTS FROM PREVIOUS STUDIES .................................................................................................... 11 3 EMPIRICAL RESULTS .................................................................................................................................. 14 3.1 EVALUATION OF MUTUAL FUNDS PERFOMANCE ............................................................................ 16 3.1.1 Mutual Fund Performance based on Sharpe and Treynor Measures .................................................. 17 3.1.2 Mutual Fund Performance and Alpha Estimates ................................................................................. 18 3.1.3 Testing for Market Timing Skills .......................................................................................................... 20 3.2 EVALUATION OF THE DEGREE OF DIVERSIFICATION OF MUTUAL FUNDS AND THEIR OVERALL PERFORMANCE ................................................................................................................................ 20 3.2.1 Evaluation of the Funds’ Diversification ............................................................................................. 20 3.2.2 Decomposing the Overall Performance ............................................................................................... 21 4 CONCLUSIONS AND LIMITATIONS ......................................................................................................... 22 4.1 CONCLUSIONS ........................................................................................................................................... 22 4.2 LIMITATIONS .............................................................................................................................................. 23 REFERENCES ........................................................................................................................................................... 25 APPENDIX A: TREYNOR AND SHARPE INDEX .............................................................................................. 28 APPENDIX B: ALPHA AND TIMING EFFECTS ................................................................................................ 37 APPENDIX C: DIVERSIFICATION AND OVERALL PERFORMANCE ....................................................... 42
en
heal.advisorName
Grose, Christos
en
heal.committeeMemberName
Leventis, Stergios
en
heal.committeeMemberName
Giamouridis
en
heal.committeeMemberName
Grose, Christos
en
heal.academicPublisher
School of Economics and Business Administration, Msc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
56
heal.fullTextAvailability
true


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