Funds Rating: The Predictive Power

Terraza Virginie () and Toque Carole ()
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Terraza Virginie: Luxembourg School of Finance, University of Luxembourg
Toque Carole: Luxembourg School of Finance, University of Luxembourg

LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg

Abstract: Using two approaches in Panel data, Granger causality analysis and a structural approach based on incertitude measures, we specify the relationship between funds performance and its ratings in accordance with two rating's methodologies. We conclude on Europerformance agency forecasting ability for the Luxembourg funds and Morningstar agency for the French funds. Indeed, we find two groups of funds depending on their domiciliation and appropriated rating. "Keywords: fund’s rating; performance; Granger causality in panel; factor analysis; incertitude measures" "Classification-JEL: C10; G20"

Date: 2008
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