Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2017.1305771
Determinants of the performance of investment funds managed in Hungary
Gábor Bóta
Mihály Ormos
Sažetak
We investigate the performance and time varying risk behaviour of
Hungarian equity mutual funds by applying modified versions of the
four-factor model applying different market proxies. We classify the
funds according to their target markets (Hungary, Central and Eastern
Europe [CEE], developed markets) and separate bullish and bearish
periods. We find no significant excess returns for any circumstances;
however, market betas are significantly different for bullish and
bearish periods as well as the explanatory power of book-to-market
ratio and market capitalisation. After taking into account the daily
percentage changes in the number of shares outstanding we find
investors’ relation to risk to be different in bearish and bullish periods.
Ključne riječi
Mutual funds; asset pricing; time varying beta; home bias
Hrčak ID:
180808
URI
Datum izdavanja:
1.12.2017.
Posjeta: 853 *