The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk

Abstract

Fund ratings, Granger causality in panel, Factor analysis, Sequences of multiperiod, Uncertainty measures, C10, G20,

Understanding Investment Funds

“…Also, Blake and Morey (2000), Morey (2002), have concluded in their studies that funds highly rated by Morningstar do not subsequently outperform averagerated mutual funds. However, in more recent studies, Morey and Gottesman (2006) proceed to an extensive examination of the performance of the new Morningstar rating system, introduced in June 2002, and Terraza and Toque (2009) test the information contained in the funds rating of Morningstar and Europerformance agencies. The general finding of these papers is that rating systems predicted future performance of funds.…”