Mutual funds for distribution and calculation returns

  • Authors:

  • Eduard Ionescu;Brîndusa Covaci;Mihai Covaci

  • Affiliations:

  • Finance and Banks Department, Spiru Haret University, Bucharest, România;Finance and Banks Department, Spiru Haret University, Bucharest, România;Finance and Banks Department, Spiru Haret University, Bucharest, România

  • Venue:
  • MCBE'09 Proceedings of the 10th WSEAS international conference on Mathematics and computers in business and economics
  • Year:
  • 2009

Quantified Score

Hi-index 0.00

Visualization

Abstract

Distribution and calculation returns are applied in the financial literature for determining fund performance or testing market competency. In this paper we propose a new return calculation and distribution method. This method has not been used in academic studies for asset pricing purpose. Daily recalculated monthly returns induce the best fitting property of the market model and the time series remain sufficiently long to derive asymptotic tests even when we work on a long time period series.