ISSN 1008-2204
CN 11-3979/C

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 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.

     

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