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  • 1 Budapest University of Technology and Economics Department of Finance Műegyetem rkp. 9, Bld. R. 202 H-1111 Budapest Hungary
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In the empirical finance literature most frequently monthly returns are applied for measuring fund performance or testing market efficiency. We propose a new return calculation method, the daily recalculated monthly returns which has not been used in academic studies for asset pricing purposes. We argue that our method outperforms daily and monthly return calculations in the case of Hungarian mutual funds when only short time series are available. Daily recalculated monthly returns induce the best fitting property of the market model while the time series remain sufficiently long to derive asymptotic tests even when we work on a one-year-long time series. Using our method the estimated parameters and the R2 s are very close to the results obtained when using monthly returns which are considered a good working approximation.

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Senior editors

Editor(s)-in-Chief: Prof. Dr. Mihályi, Péter

Editor(s): Ványai, Judit

Editorial Board

  • Ádám Török (Chairman) / University of Pannonia; Budapest University of Technology and Economics
  • Edina Berlinger / Corvinus University of Budapest, Department of Finance
  • Péter Halmai / Budapest University of Technology and Economics; National University of Public Service
  • Gábor Kézdi / University of Michigan
  • István Kónya / Institute of Economics Centre for Regional and Economic Studies, University of Pécs
  • János Köllő / Institute of Economics Centre for Regional and Economic Studies
  • István Magas / Corvinus University of Budapest, Department of World Economy; University of Physical Education, Department. of Sports and Decision Sciences
 

Advisory Board

  • Ǻslund, Anders
  • Kolodko, Grzegorz
  • Mau, Vladimir
  • Messerlin, Patrick A
  • Nuti, Mario Domenico
  • Wagener, Hans-Jürgen

Corvinus University of Budapest
Department of Economics
Fővám tér 8 Budapest, H-1093, Hungary

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2019  
Total Cites
WoS
212
Impact Factor 0,914
Impact Factor
without
Journal Self Cites
0,728
5 Year
Impact Factor
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Immediacy
Index
0,156
Citable
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45
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Articles
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Cited
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in
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Acta Oeconomica
Language English
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1966
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2021 Volume 71
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Founder Magyar Tudományos Akadémia
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ISSN 0001-6373 (Print)
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