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

Ang, W. R., Gregoriou, G. N., & Lean, H. H. (2014). Market-timing skills of socially responsible investment fund managers: The case of North America versus Europe. Journal of Asset Management, 15(6), 366-377.10.1057/jam.2014.34Search in Google Scholar

Bali, T. G., Brown, S. J., & Caglayan, M. O. (2014). Macroeconomic risk and hedge fund returns. Journal of Financial Economics, 114(1), 1-19.10.1016/j.jfineco.2014.06.008Search in Google Scholar

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.10.1016/0304-4076(86)90063-1Search in Google Scholar

Bollerslev, T. (1988). On the correlation structure for the generalized autoregressive conditional heteroskedastic process. Journal of Time Series Analysis, 9(2), 121-131.10.1111/j.1467-9892.1988.tb00459.xSearch in Google Scholar

Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.10.1111/j.1540-6261.1997.tb03808.xSearch in Google Scholar

Chen, C. R„ Lee, C. F„ Rahman, S„ & Chan, A. (1992). A CROSS-SECTIONAL ANALYSIS OF MUTUAL FUNDS’MARKET TIMING AND SECURITY SELECTION SKILL. Journal of Business Finance & Accounting, 19(5), 659-675.10.1111/j.1468-5957.1992.tb00650.xSearch in Google Scholar

Chen, L. W., Adams, A., & Taffler, R. (2013). What style-timing skills do mutual fund “stars” possess?. Journal of Empirical Finance, 21, 156-173.10.1016/j.jempfin.2013.01.004Search in Google Scholar

Chen, Y., & Liang, B. (2007). Do market timing hedge funds time the market?. Journal of Financial and Quantitative Analysis, 42(4), 827.10.1017/S0022109000003410Search in Google Scholar

Chincarini, L. B., & Nakao, A. (2011). Measuring hedge fund timing ability across factors. The Journal of Investing, 20(4), 50-70.10.3905/joi.2011.20.4.050Search in Google Scholar

Chu, P. K. K., & McKenzie, M. (2008). A study on stock-selection and market-timing performance: evidence from Hong Kong Mandatory Provident Funds (MPF). Review of Pacific Basin Financial Markets and Policies, 11(04), 617-649.10.1142/S0219091508001507Search in Google Scholar

Cuthbertson, K., & Nitzsche, D. (2013). Performance, stock selection and market timing of the German equity mutual fund industry. Journal of Empirical Finance, 21, 86-101.10.1016/j.jempfin.2012.12.002Search in Google Scholar

Cuthbertson, K., Nitzsche, D., & O'Sullivan, N. (2010). The market timing ability of UK mutual funds. Journal of Business Finance & Accounting, 37(1-2), 270-289.10.1111/j.1468-5957.2009.02157.xSearch in Google Scholar

Cuthbertson, K., Nitzsche, D., & O'Sullivan, N. (2012). False discoveries in UK mutual fund performance. European Financial Management, 18(3), 444-463.10.1111/j.1468-036X.2009.00536.xSearch in Google Scholar

Das, S., & Barai, P. (2016). Size, value and momentum in stock returns: Evidence from India. Macroeconomics and Finance in Emerging Market Economies, 9(3), 284-302.10.1080/17520843.2016.1148754Search in Google Scholar

El Amri, H., & Hamza, T. (2017). Are There Causal Relationships between Islamic versus Conventional Equity Indices? International Evidence. Studies in Business and Economics, 12(1), 40-60.10.1515/sbe-2017-0004Search in Google Scholar

Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.10.2307/2325486Search in Google Scholar

Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross-section of mutual fund returns. The journal of finance, 65(5), 1915-1947.10.1111/j.1540-6261.2010.01598.xSearch in Google Scholar

Filippas, N. D., & Psoma, C. (2001). Equity mutual fund managers performance in Greece. Managerial Finance, 27(6), 68-75.10.1108/03074350110767231Search in Google Scholar

Giri, A. K., & Joshi, P. (2017). The impact of macroeconomic indicators on indian stock prices: An empirical analysis. Studies in Business and Economics, 12(1), 61-78.10.1515/sbe-2017-0005Search in Google Scholar

Henriksson, R. D. (1984). Market timing and mutual fund performance: An empirical investigation. Journal of business, 73-96.10.1086/296225Search in Google Scholar

Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of business, 513-533.10.1086/296144Search in Google Scholar

Kacperczyk, M., Sialm, C., & Zheng, L. (2005). On the industry concentration of actively managed equity mutual funds. The Journal of Finance, 60(4), 1983-2011.10.1111/j.1540-6261.2005.00785.xSearch in Google Scholar

Kim-Lian, K., Kim-Leng, G., & Yoke-Chen, W. (2004). Selectivity and market timing performance of Malaysian Unit Trusts. Malaysian Journal of Economic Studies, 41(1/2), 71.Search in Google Scholar

Kyriazis, N. A. (2017). Eurozone Debt Monetization and Helicopter Money Drops: How Viable can this be?. Journal of Central Banking Theory and Practice, 6(3), 5-15.10.1515/jcbtp-2017-0018Search in Google Scholar

Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The review of economics and statistics, 13-37.10.2307/1924119Search in Google Scholar

Malkiel, B. G. (1995). Returns from investing in equity mutual funds 1971 to 1991. The Journal of finance, 50(2), 549-572.10.1111/j.1540-6261.1995.tb04795.xSearch in Google Scholar

Merton, R. C. (1981). On market timing and investment performance. I. An equilibrium theory of value for market forecasts. Journal of business, 363-406.10.1086/296137Search in Google Scholar

Metzger, N., & Shenai, V. (2019). Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007-2017. International Journal of Financial Studies, 7(1), 15.10.3390/ijfs7010015Search in Google Scholar

Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.10.2307/1910098Search in Google Scholar

Nicolosi, G., Peng, L, & Zhu, N. (2009). Do individual investors learn from their trading experience?. Journal of Financial Markets, 12(2), 317-336.10.1016/j.finmar.2008.07.001Search in Google Scholar

Papadamou, S., & Siriopoulos, C. (2004). American equity mutual funds in European markets: hot hands phenomenon and style analysis. International Journal of Finance & Economics, 9(2), 85-97.10.1002/ijfe.233Search in Google Scholar

Papadamou, S., Kyriazis, N. A., & Mermigka, L. (2017). Japanese Mutual Funds before and after the Crisis Outburst: A Style-and Performance-Analysis. International Journal of Financial Studies, 5(1), 9.10.3390/ijfs5010009Search in Google Scholar

Papadamou, S., Kyriazis, N. A., & Tzeremes, P. G. (2019). Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices. Journal of Risk and Financial Management, 12(2), 57.10.3390/jrfm12020057Search in Google Scholar

Papadamou, S., Kyriazis, N. A., & Tzeremes, P. G. (2019). Unconventional monetary policy effects on output and inflation: A meta-analysis. International Review of Financial Analysis, 61, 295-305.10.1016/j.irfa.2018.11.015Search in Google Scholar

Peltomäki, J., & Peltomäki, J. (2017). Investment styles and the multifactor analysis of market timing skill. International Journal of Managerial Finance, 13(1), 21-35.10.1108/IJMF-04-2015-0095Search in Google Scholar

Qian, M., Xu, C., & Yu, B. (2014). Performance manipulation and fund flow: evidence from China. Emerging Markets Finance and Trade, 50(3), 221-239.10.2753/REE1540-496X500312Search in Google Scholar

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.10.1111/j.1540-6261.1964.tb02865.xSearch in Google Scholar

Simutin, M. (2013). Cash holdings and mutual fund performance. Review of Finance, 18(4), 1425-1464.10.1093/rof/rft035Search in Google Scholar

Szczerbowicz, U. (2015). The ECB unconventional monetary policies: have they lowered market borrowing costs for banks and governments?. International Journal of Central Banking, 11(4), 91-127.Search in Google Scholar

Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard business review, 44(4), 131-136.Search in Google Scholar