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