Morningstar Star ratings and the performance, risk and flows of European bond mutual funds

被引：4

作者：

Otero-Gonzalez, Luis ^{[1
]}

Leite, Paulo ^{[2
]}

Duran-Santomil, Pablo ^{[1
]}

Domingues, Renato ^{[3
]}

机构：

[1] Univ Santiago de Compostela, Dept Finance & Accounting, Avda Burgo Nac, Santiago De Compostela 15704, Spain

[2] Polytech Inst Cavado & Ave, Appl Management Res Unit UNIAG, Sch Management, P-4750180 Barcelos, Portugal

[3] Polytech Inst Tomar, Sch Management, Dept Business Sci, Estr Serra, P-2300313 Tomar, Portugal

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2022年 / 82卷

关键词：

Bond mutual funds; Performance; Persistence; Ratings; Morningstar; DEBT CRISIS; PERSISTENCE;

D O I：

10.1016/j.iref.2022.07.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we evaluate the relation between Morningstar Star ratings and the performance, risk and flows of European bond funds over the period 2006-2019 based on a comprehensive and survivorship-free dataset comprising 939 mutual funds. Fund performance is evaluated by net and gross returns, as well as alphas based on single and multi-factor models. Our results show that well-rated mutual funds exhibit superior performance even after controlling for differences in fund characteristics although they exhibit high risks both in terms of volatility and value-at-risk. We also find strong evidence of fund performance persistence and rating persistence. Finally, Morningstar Star ratings are also useful for explaining inflows and outflows. Funds with higher ratings attract more flows even if we control for prior performance.

引用

页码：479 / 496

页数：18

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