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Determinants of the performance of investment funds managed in Hungary

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  • Gábor Bóta
  • Mihály Ormos

Abstract

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.

Suggested Citation

  • Gábor Bóta & Mihály Ormos, 2017. "Determinants of the performance of investment funds managed in Hungary," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 30(1), pages 140-153, January.
    • Handle: RePEc:taf:reroxx:v:30:y:2017:i:1:p:140-153
    DOI: 10.1080/1331677X.2017.1305771
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