| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25046 |
| 来源ID | Working Paper 25046 |
| Ratings and Asset Allocation: An Experimental Analysis | |
| Robert L. McDonald; Thomas A. Rietz | |
| 发表日期 | 2018-09-17 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Investment ratings (e.g., by Morningstar) provide a simple ordinal scale (e.g., 1 to 5) for comparing investments. Typically, ratings are assigned within categories — groups of assets sharing common characteristics — but using the same ordinal scale for all groups. Comparing such categorized ratings across categories is potentially misleading. We study the effect of categorized ratings in an asset allocation experiment in which subjects make repeated allocation decisions under complete information. Subjects initially see no ratings, and they then see either categorized or uncategorized ratings. Although ratings convey no information, categorized ratings affect subject investment choices and harm performance in the experiment. Subjects do not simply invest more in highly rated assets. Rather, rating effects seem to occur when ratings conflict with subjects’ own evaluation of assets: subjects reduce their investment in a high quality asset which receives an intermediate rating, but they do not increase their investment in a high-quality asset that receives a high rating. Knowledge and experience help with the base allocation task but do not mitigate the harmful effect of categorized ratings. |
| 主题 | Financial Economics ; Behavioral Finance |
| URL | https://www.nber.org/papers/w25046 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582720 |
| 推荐引用方式 GB/T 7714 | Robert L. McDonald,Thomas A. Rietz. Ratings and Asset Allocation: An Experimental Analysis. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25046.pdf（491KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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