晨星评级预测性功能研究
The Forecast Ability of Morning Star Ratings
-
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。Abstract: We established dynamic panel data with System GMM to test the forecast ability of Morning Star Ratings. We found that Morning Star Ratings cant 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.