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Funds Rating: The Predictive Power

Author

Listed:
  • Terraza Virginie

    (Luxembourg School of Finance, University of Luxembourg)

  • Toque Carole

    (Luxembourg School of Finance, University of Luxembourg)

Abstract

Using two approaches in Panel data, Granger causality analysis and a structural approach based on incertitude measures, we specify the relationship between funds performance and its ratings in accordance with two rating's methodologies. We conclude on Europerformance agency forecasting ability for the Luxembourg funds and Morningstar agency for the French funds. Indeed, we find two groups of funds depending on their domiciliation and appropriated rating.

Suggested Citation

  • Terraza Virginie & Toque Carole, 2008. "Funds Rating: The Predictive Power," LSF Research Working Paper Series 08-08, Luxembourg School of Finance, University of Luxembourg.
    • Handle: RePEc:crf:wpaper:08-08
    as

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    File URL: http://www.lsf.lu/eng/content/download/791/3976/file/08-08.pdf
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    References listed on IDEAS

    as
    1. Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
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    More about this item

    Keywords

    fund’s rating; performance; Granger causality in panel; factor analysis; incertitude measures;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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