Examining Whether Using the Morningstar Ratings Helps Explain the Survival of Mutual Funds

  • 李 興彥

Student thesis: Master's Thesis


In this paper Taiwanese domestic funds that raised money invested in Taiwan and were rated by Morningstar are chosen as samples A logistic regression model is applied to construct a distress pre-warning model A cross-validation method is then used to examine whether the predictability of a pre-warning model that contains Morningstar ratings as independent variables is higher than the other model which does not contain Morningstar ratings If the predictability is more accurate in the model with Morningstar ratings we can infer that these variables help explain the survival of mutual funds The finding shows the predictability of the distress pre-warning model without Morningstar ratings to be slightly higher than the model with Morningstar ratings for Taiwanese domestic funds that both raised money and invested in Taiwan The contribution of this study is demonstrating that Morningstar ratings cannot help explain the survival of mutual funds and suggesting other researchers trying different indicators as independent variables or to extend the sample period to improve mutual fund distress predictability
Date of Award2016 Aug 16
Original languageEnglish
SupervisorMeng-Feng Yen (Supervisor)

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