Is the Rating Given to a European Mutual Fund a Good Indicator of Its Future Performance? - Archive ouverte HAL
Article Dans Une Revue Economics Bulletin Année : 2014

Is the Rating Given to a European Mutual Fund a Good Indicator of Its Future Performance?

Résumé

The objective of this paper is to investigate whether the rating of a fund is a determinant of its future performance. This study focuses on the Fundclass ratings for a sample of 1,452 EU funds with a similar style of management for the period 2003–12 (a period marked by economic crisis). By using the methodology of non-stationary panel data, we simultaneously assess the long- and short-term relationship between fund performance and scoring, using a vector error correction model. Our results conclude that there is a positive relationship between these two variables over time. Nevertheless, in the short term, this relationship is only valid for the period 2007–12, especially for funds with a good rating.
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Dates et versions

hal-01369862 , version 1 (21-09-2016)

Identifiants

  • HAL Id : hal-01369862 , version 1

Citer

Vincent Fromentin, Christine Louargant. Is the Rating Given to a European Mutual Fund a Good Indicator of Its Future Performance?. Economics Bulletin, 2014, 34 (2), pp.1235 - 1246. ⟨hal-01369862⟩
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