Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/29782 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 874
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and conditional portfolio performance evaluation. In both cases the evidence suggests that the better performance of the STAR3, STAR4 and STAR5 categories reflects superior stock selection rather than market timing abilities. Overall, the implication for the Morningstar ranking system is that this is most effective in identifying the worst- performing funds (STAR1 or STAR2) rather than the best-performing ones.
Schlagwörter: 
Mutual fund
Morningstar star-rating system
CAPM
conditional and unconditional portfolio performance evaluation
JEL: 
G23
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
171.63 kB





Publikationen in EconStor sind urheberrechtlich geschützt.