Funds Rating: The Predictive Power
AbstractUsing 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.
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Bibliographic InfoPaper provided by Luxembourg School of Finance, University of Luxembourg in its series LSF Research Working Paper Series with number 08-08.
Date of creation: 2008
Date of revision:
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More information through EDIRC
fund’s rating; performance; Granger causality in panel; factor analysis; incertitude measures;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012.
"Testing for Granger non-causality in heterogeneous panels,"
Elsevier, vol. 29(4), pages 1450-1460.
- Christophe Hurlin & Elena Dumitrescu, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Working Papers halshs-00224434, HAL.
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