Performance of Hungarian Mutual Funds and the Financial Crisis Cover Image

Performance of Hungarian Mutual Funds and the Financial Crisis
Performance of Hungarian Mutual Funds and the Financial Crisis

Author(s): Mihály Ormos, Gábor Botár
Subject(s): National Economy, Economic policy, Financial Markets
Published by: Masarykova univerzita
Keywords: mutual funds; asset pricing; financial crisis; time varying beta;
Summary/Abstract: We investigate the performance and time varying risk behavior of Hungarian equity mutual funds by applying the modified version of the four-factor model using the Central Eastern European index as a market proxy. We classify the funds according to their target markets (Hungary, Central and Eastern Europe, developed markets) and separate bullish and bearish periods.