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Risk analysis: a case study of the Greek bond mutual funds

Risk analysis: a case study of the Greek bond mutual funds The present article aims to test the suitability of a newly developed bond index to measure and analyze the risk undertaken by the bond mutual funds operating in the Greek financial market. In doing so, the capital asset pricing model is applied using as an approximation of the market portfolio, first the General Index of the Athens Stock Exchange, secondly the new Bond Index, while, in turn, the results from these two applications are compared with each other. The research concludes that the proposed Bond Index approximates the market portfolio (Greek bond market) much better than the General Index of the Athens Stock Exchange. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

Risk analysis: a case study of the Greek bond mutual funds

George P. Artikis
Managerial Finance , Volume 30 (10): 12 – Oct 1, 2004
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Publisher
Emerald Publishing
Copyright
Copyright © 2004 Emerald Group Publishing Limited. All rights reserved.
ISSN
0307-4358
DOI
10.1108/03074350410769290
Publisher site
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Abstract

The present article aims to test the suitability of a newly developed bond index to measure and analyze the risk undertaken by the bond mutual funds operating in the Greek financial market. In doing so, the capital asset pricing model is applied using as an approximation of the market portfolio, first the General Index of the Athens Stock Exchange, secondly the new Bond Index, while, in turn, the results from these two applications are compared with each other. The research concludes that the proposed Bond Index approximates the market portfolio (Greek bond market) much better than the General Index of the Athens Stock Exchange.

Journal

Managerial Finance – Emerald Publishing

Published: Oct 1, 2004

Keywords: Mutual funds; Bond; Bond index; Capital asset pricing model

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