晨星评级预测性功能研究

基金项目: 教育部新世纪优秀人才支持计划（NCET050184）；国家自然科学基金项目（70521001）

详细信息

The Forecast Ability of Morning Star Ratings

School of Economics and Management, Beijing University of Aeronautics and Astro nautics, Beijing 100191, China

摘要: 采用系统广义矩（System GMM）估计方法对晨星评级的预测性功能进行考察。发现无论是静态模型还是动态模型，估计结果都表明晨星评级对基金的未来业绩不具有预测功能。因此认为晨星评级不能预测基金未来，只能反映基金的过去业绩。
- 晨星评级 /
- 动态面板数据（DPD） /
- 系统广义矩
Abstract: We established dynamic panel data with System GMM to test the forecast ability of Morning Star Ratings. We found that Morning Star Ratings cant foret ell the fund future whatever the two models. Moreover, we observed that very few funds are able to maintain their rating even for three months. Comparing the tw o stages after the ratings, we found that the low rating funds improved the rati ng at the cost of higher turnover and risk.
- Morning Star Ratings /
- dynamic panel data (DPD) /
- System GMM

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