Star Power: The Effect of Monrningstar Ratings on Mutual Fund Flow
用事件研究方法分析晨星评级变化对散户投资者资金分配的影响，发现评级本身而非业绩变化驱动资金流动，评级上调带来正向异常资金流入，下调则导致负向异常流出。
Abstract We apply an event-study methodology on over 10,000 Morningstar star rating changes and find that Morningstar has subsantial independent influence on the investment allocation decisions of retail mutual fund investors. It is the discrete change in the star rating itself and not the change in the underlying performance measures that drives frow. We document econnomically and statistically significant positive abnormal flow following rating upgrades, and negative abnormal flow following rating downgrades. In contrast to the cross-sectional flow performance literature, we find evidence of investor punishment of performance declines, some of which is evident immediately in the month of the rating change.