Publication Type
Working Paper
Version
publishedVersion
Publication Date
11-2014
Abstract
Mutual fund investors have the arduous task of disentangling luck from ability of mutual fund managers’ performance. In this paper we investigate the role of mutual fund corporate governance (measured by Morningstar Stewardship grade) in mutual fund performance. We propose an objective data-driven corporate governance score based on principal components of Morningstar Stewardship Grades. Furthermore, we establish corporate governance scores have Granger Causality on long-term risk-adjusted returns. The findings suggest that corporate governance grades of mutual funds carry information content beyond the usual star rating measures for predicting long-term mutual fund performance and provide an effective tool for selecting funds.
Keywords
Mutual fund performance, Corporate Governance, Stewardship Grades, Star Rating, mutual fund ratings, predictive, principal component, Granger Causality
Discipline
Corporate Finance | Finance and Financial Management
Research Areas
Finance
First Page
1
Last Page
51
Citation
CAO, Jerry X.; GHOSH, Aurobindo; GOH, Jeremy; and NG, Wee Seng.
Governance Matter: Morningstar Stewardship Grades and Mutual Fund Performance. (2014). 1-51.
Available at: https://ink.library.smu.edu.sg/soe_research/1609
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.