A stock selection model using Morningstar's style box

Abstract


 
 
 In this paper, we place firms in the Morningstar's style box cells and test whether selecting ®rms from these cells allows investors to compile a portfolio consistent with their risk tolerance. We con®rm that the risk of those cells is consistent with the risk expectations published by Morningstar. Firms assigned to the upper left cells are lower risk than those assigned to the lower right cells. When we test for risk-adjusted returns we do not ®nd that investing in high risk cells results in greater returns. Our results suggest higher returns are possible by investing in lower risk value cells. Copyright 2001 Elsevier Science Inc. All rights reserved.
 
 

An ordered probit model of Morningstar individual stock ratings

“…It is surprising that none of the style box dummies are significant, particularly given the strong emphasis placed on them by Morningstar and confirmation of their value in stock selection strategies provided by Schadler and Eakins (2001). Further, the model also shows that none of the grades given by Morningstar to categories of financial health, growth or profitability are significant.…”

Stock Selection Based on Discriminant Analysis: Case of Capital Market of Bosnia and Herzegovina

“…Schadler and Eakins (2001) examined a stock selection model using Morningstar's style box. Basing on the Gordon model perspective and applying multiple criteria decision making (MCDM), Lee, Tzeng, Guan, Chien and Huang (2009) explore the influential factors and relative weight of dividend, discount rate, and dividend growth rate.…”