• Out-of-Stock

Is Rating Associated with Better Retail Funds? Performance in Changing Market Conditions? [extrait BMI 132]

Author :
€47.39
Quantity
Add to wishlist
Out-of-Stock

Version numérique PDF

This paper investigates the impact of ratings on the performance of retail funds from four non-overlapping equity fund universes ? Europe excluding UK, UK Growth, USA, and Global ? over the period between 30th September 2003 and 31th December 2009. The main difference between our study and previous research is that our analysis was conducted on qualitative, not quantitative, ratings. We employ a range of techniques in order to capture the potentially diverse nature of the linkages between rating and performance, including long-run returns, return persistence, and volatility: Cross-sectional; historical; and dynamic (model-based). A particular attention is paid to the susceptibility of fund performance in times of changing market conditions, i.e. bull and bear markets. Overall, we find evidence that rated funds outperform their not rated counterparts, especially in bear markets.JEL Codes: C24; G22.Keywords: Fund Ratings; Retail Funds; Performance Persistence; Regime Switching.

Auteurs :Louth Richard
Extrait de la revue BMI 132

BMI132-1118857
New

16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

The Paulson Plan: Who Are the Winners?

  • A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities
  • Raising Companies’ Profi le with Corporate Social Performance
  • Does Employee Ownership Really Boost Performance?
  • Islamic Equity Indices: Insight and Comparison with Conventional Counterparts

  • Market microstructure in practice
Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis
  • Evaluating UCITS Compliant Hedge Fund Performance
  • Do Cooperative Banks Have Greater Market Power?
  • In which Media are Analysts’ Recommendations most Followed?
This website uses cookies to ensure you get the best experience on our website