The Information Content of Australian Managed Fund Ratings
研究澳大利亚管理基金评级对零售投资者的信息价值，发现评级变化影响资金流向，投资者会追逐上调评级的基金并撤出下调评级的基金。
Abstract: We examine the information content of managed fund ratings for Australian retail investors. Because fund ratings, premised on a quantitative‐qualitative model, are highly transitory, we question whether investors formulate their investment decisions with respect to changes in ratings and whether ratings, in turn, react to fund flows. We find that information regarding fund flows can be obtained from ratings, and that rating changes can have far‐reaching effects. Investors flock to newly upgraded funds while they penalize those that have been downgraded by withdrawing funds. Investors are constantly anticipating ratings revisions, particularly downgrades, and we attribute this phenomenon to the role of qualitative factors in the ratings.