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...

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...

In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the...

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

This paper examines the dynamic interactions between mutual fund flows and security returns in an emerging capital market, namely the Greek one. It adopts a testing strategy not requiring pre-testing (which might generate severe biases) but simply augmenting the system (Toda and Yamamoto, 1995,...

Using Monte Carlo simulations, it is shown that fitting a mis-specified GARCH model to a true MS-GARCH process tends to produce IGARCH parameter estimates. In other words, the presence of structural breaks can result in spuriously high estimates of the degree of persistence of shocks to the...