Funds Rating: The Predictive Power
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 of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: Bâtiment K2, 4, rue Albert Borschette, L-1246 Luxembourg-Kirchberg|
Phone: +352 46 66 44 6335
Fax: +352 46 66 44 6811
Web page: http://wwwen.uni.lu/luxembourg_school_of_finance
More information through EDIRC
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.:
- Elena Ivona Dumitrescu & Christophe Hurlin, 2012.
"Testing for Granger Non-causality in Heterogeneous Panels,"
- Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, 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.
When requesting a correction, please mention this item's handle: RePEc:crf:wpaper:08-08. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martine Zenner)
If references are entirely missing, you can add them using this form.