基金評等眾多的國際機構中，常見最具權威性者約有理柏(Lipper)、晨星(Morningstar)與標準普爾公司(S&P)數家。這些評等機構的評級，投資者一定程度作為投資參考，投信公司發行基金或金融保險機構進行投資組合包裝，也都會將基金評級列為參考要項，基金評級之重要不言可喻！本研究以晨星公司2004年11月30日至2014年12月31日間，在台灣地區上架，包括該期間仍存在或曾經存在但已消滅之各類基金評級為資料，進行分類研究，探究的目標為這些評級究竟是否具有持續性。研究採用Fama-Macbeth迴歸方法，將資料分成不分類、股票型、債券型三組，分別再區分為一個月、三個月、六個月及十二個月滾動，各自分成數組為應變數，與三年、五年、十年及總回報評等(自變數)進行橫斷面迴歸，並以貝它P-value驗證迴歸的斜率估計值是否顯著。另外也檢驗調整後R平方看是否具有解釋力，同時進行皮爾森相關係數檢驗，以驗證兩者有無正相關。研究結論顯示不論是何種組別，所有的結論都指向具有極高的顯著性且呈正相關，而調整後R平方也趨近於1，故具有很高解釋力；換言之，晨星評等具有持續性。此結論或可說明晨星評等為何會成為投信公司發基金重要參考其原因。

This paper explores whether Morningstar ratings are persistent or not. Our data is provided by the research department of Franklin Templeton Investments company. Sample period is from 2004/12/31 to 2014/11/30. According to the literature, we mainly use two methods to test rating persistence for mutual funds according to the category. One is the Fama-MacBeth cross-sectional regression, the other is based on the Pearson correlation coefficient. We find that the ratings of fixed-income funds tend to show persistence based on historical returns of the precedent 3 years, 5 years, 10 years, and a mixed window of these three evaluation periods.

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