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Funds Rating: The Predictive Power

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  • Terraza Virginie

    ()
    (Luxembourg School of Finance, University of Luxembourg)

  • Toque Carole

    ()
    (Luxembourg School of Finance, University of Luxembourg)

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    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.

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    Bibliographic Info

    Paper provided by Luxembourg School of Finance, University of Luxembourg in its series LSF Research Working Paper Series with number 08-08.

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    Date of creation: 2008
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    Handle: RePEc:crf:wpaper:08-08

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    Keywords: fund’s rating; performance; Granger causality in panel; factor analysis; incertitude measures;

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    1. Christophe Hurlin & Elena Dumitrescu, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Working Papers halshs-00224434, HAL.
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