Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
Morningstar Sustainability Rating ของกองทุนสามารถเป็นตัวบ่งบอกถึง downside protection ได้หรือไม่
Year (A.D.)
2020
Document Type
Independent Study
First Advisor
Anirut Pisedtasalasai
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2020.64
Abstract
This study investigates whether the Morningstar Sustainability Rating indicates the downside protection for the 2018 Global stock market downturn and 2020 Stock market crash by using daily time-series analysis and investigate whether fund characteristics have an effect on performance of each Morningstar Sustainability Rating by using a panel data analysis at a quarterly frequency for the active equity mutual fund in the US market. This paper finds the neutral performance in every group of ratings in any market period according to the neutral alpha or abnormal return and the fund characteristics influence the fund performance pattern which can observe that the better rating’s fund tend to have the better performance which can indicate that the better Morningstar Sustainability Rating provides the less downside risk in the crisis period.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Ruengsrichaiya, Purisa, "Could morningstar sustainability rating be an indicator for downside protection?" (2020). Chulalongkorn University Theses and Dissertations (Chula ETD). 7578.
https://digital.car.chula.ac.th/chulaetd/7578