 Morningstar Star ratings and the performance, risk and flows of European bond mutual fundsLuis Otero-González, Paulo Leite, Pablo Durán-Santomil and Renato Domingues International Review of Economics & Finance, 2022, vol. 82, issue C, 479-496 Abstract: In this paper we evaluate the relation between Morningstar Star ratings and the performance, risk and flows of European bond funds over the period 2006–2019 based on a comprehensive and survivorship-free dataset comprising 939 mutual funds. Fund performance is evaluated by net and gross returns, as well as alphas based on single and multi-factor models. Our results show that well-rated mutual funds exhibit superior performance even after controlling for differences in fund characteristics although they exhibit high risks both in terms of volatility and value-at-risk. We also find strong evidence of fund performance persistence and rating persistence. Finally, Morningstar Star ratings are also useful for explaining inflows and outflows. Funds with higher ratings attract more flows even if we control for prior performance. Keywords: Bond mutual funds; Performance; Persistence; Ratings; Morningstar (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:82:y:2022:i:c:p:479-496 DOI: 10.1016/j.iref.2022.07.003 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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