"Testing the homogeneous investor assumption : can a fund manager or a rating agency acquire information about future performance

Falkenmire, Benjamin J. (2001). "Testing the homogeneous investor assumption : can a fund manager or a rating agency acquire information about future performance Honours Thesis, School of Business, The University of Queensland.

       
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Author Falkenmire, Benjamin J.
Thesis Title "Testing the homogeneous investor assumption : can a fund manager or a rating agency acquire information about future performance
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2001
Thesis type Honours Thesis
Language eng
Subjects 14 Economics
Formatted abstract
This study provides an empirical examination of the efficient market model's assumption that investors are homogeneous. Specifically, the efficient market model assumes no investor can acquire information about performance in the future. This assumption is tested by examining the behaviour of two 'types' of investors; the fund manager and Morningstar rating agency. Should both possess the ability to contract to acquire information about future performance, managed fund performance will persist and Morningstar's star ratings will predict future performance. The results indicate 1) performance does not persist and 2) star ratings do not provide information about future performance relative to the information provided by historical measures. It is inferred neither type of investor has the ability to contract for information about future performance. The results are not inconsistent with the homogeneous investor assumption in the efficient market model.
Keyword Economics
Banking
Finance and Investment

 
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Created: Wed, 01 Dec 2010, 13:00:24 EST by Ning Jing on behalf of The University of Queensland Library