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"
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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.
- Elena Ivona Dumitrescu & Christophe Hurlin, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Post-Print hal-01385899, HAL.
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