The return and risk profile of equities and equity portfolios at the Budapest stock exchange

Bugár, Gyöngyi and Baratto, Gianni and Prehoffer, István (2004) The return and risk profile of equities and equity portfolios at the Budapest stock exchange. Hungarian Statistical Review, 82 (SN9). pp. 22-37. ISSN 0039-0690

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Abstract

This paper examines the risk and return characteristics of equities listed and traded in category ‘A’ at the Budapest Stock Exchange in the time period of 2001–2002. The performance of two portfolio strategies is also evaluated. It is shown empirically that a systematic portfolio allocation has several advantages to stock picking. Indeed, the portfolio strategies examined performed well not only on an ex post but also on an ex ante basis.

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