The Information Content of Australian Managed Fund Ratings

20 Pages Posted: 11 Dec 2007

See all articles by Robert W. Faff

Robert W. Faff

University of Queensland

Jerry T. Parwada

UNSW Australia Business School, School of Banking and Finance; UNSW Business School; Financial Research Network (FIRN)

Hun-Lune Poh

affiliation not provided to SSRN

Date Written: 2007-03

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.

Suggested Citation

Faff, Robert W. and Parwada, Jerry T. and Poh, Hun-Lune, The Information Content of Australian Managed Fund Ratings (2007-03). Journal of Business Finance & Accounting, Vol. 34, Issue 9-10, pp. 1528-1547, November/December 2007. Available at SSRN: https://ssrn.com/abstract=1065852 or http://dx.doi.org/10.1111/j.1468-5957.2007.02053.x

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Jerry T. Parwada

UNSW Australia Business School, School of Banking and Finance ( email )

Sydney, NSW 2052
Australia

UNSW Business School ( email )

UNSW Business School
High St
Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

UNSW
Sydney, NSW 2052
Australia

HOME PAGE: http://www.firn.org.au

Hun-Lune Poh

affiliation not provided to SSRN

No Address Available

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