Is Rating Associated with Better Retail Funds’ Performance in Changing Market Conditions?

Richard Louth, Stephen Satchell and Warapong Wongwachara
Additional contact information
Richard Louth: Corpus Christi College, University of Cambridge
Stephen Satchell: Trinity College, University of Cambrifge

Bankers, Markets & Investors, 2014, issue 132, 4-24

Abstract: This paper investigates the impact of ratings on the performance of retail funds from four non-overlapping equity fund universes – Europe excluding UK, UK Growth, USA, and Global – over the period between 30th September 2003 and 31th December 2009. The main difference between our study and previous research is that our analysis was conducted on qualitative, not quantitative, ratings. We employ a range of techniques in order to capture the potentially diverse nature of the linkages between rating and performance, including long-run returns, return persistence, and volatility: Cross-sectional; historical; and dynamic (model-based). A particular attention is paid to the susceptibility of fund performance in times of changing market conditions, i.e. bull and bear markets. Overall, we find evidence that rated funds outperform their not rated counterparts, especially in bear markets.

Keywords: Fund Ratings; Retail Funds; Performance Persistence; Regime Switching (search for similar items in EconPapers)
JEL-codes: C24 G22 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.revue-banque.fr/article/rating-associat ... il-funds-performance (text/html)
price

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rbq:journl:i:132:p:4-24

Ordering information: This journal article can be ordered from
12 rue du Quatre-Septembre, 75002 PARIS France
http://www.eska.fr

Access Statistics for this article

More articles in Bankers, Markets & Investors from ESKA Publishing
Bibliographic data for series maintained by Marise Urbano ().