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Time-Varying Loss Aversion of Mutual Fund Managers as a Response to Incentives
Liu, Liyuan; Pantelous, Athanasios A.; Xie, Yuxin; Zheng, Lu - 2022
Using detailed mutual fund holdings in the US market, we estimate active mutual fund managers’ loss aversion as a … function of both funds’ past performance and asset allocations. We document a substantial variation in loss aversion over time …. We further find managers' loss aversion is higher when past fund flows were high and lower when past fund flows were …
Persistent link: https://www.econbiz.de/10014245005
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Loss aversion, overconfidence of investors and their impact on market performance evidence from the US stock markets
Bouteska, Ahmed; Regaieg, Boutheina - In: Journal of economics, finance & administrative science 25 (2020) 50, pp. 451-478
Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and … overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was … study. Findings - It was documented that the loss-aversion bias negatively affects the economic performance of companies and …
Persistent link: https://www.econbiz.de/10012434081
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Investors' behavior in alternative asset classes
Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55
investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …
Persistent link: https://www.econbiz.de/10014246136
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Decomposing the disposition effect
Maier, Johannes K.; Fischer, Dominik Simon - 2021
We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses re-...
Persistent link: https://www.econbiz.de/10012648374
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Financial loss aversion illusion
Merkle, Christoph - In: Review of finance : journal of the European Finance … 24 (2020) 2, pp. 381-413
Persistent link: https://www.econbiz.de/10012194936
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Minimax : Portfolio Choice Based on Pessimistic Decision Making
Schaarschmidt, Steffen - 2012
We propose a fund allocation strategy for a highly risk-averse investor based on pessimistic decision making to construct portfolios of four major asset classes. Using US data (indexes of stocks, bonds, real estate, and commodities) from January 1990 to December 2010, we find that the proposed...
Persistent link: https://www.econbiz.de/10013105593
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The Flow-Performance Relationship in Emerging Market Bond Funds
Leung, David - 2018
We investigate the relationship between net inflow to mutual bond funds that invest in emerging market economies (EMEs) and the past performance of these funds. Our main finding is that EME bond funds display a convex flow-performance relationship. In other words, past performance is a...
Persistent link: https://www.econbiz.de/10012929173
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Window dressing in mutual funds
Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2014
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...
Persistent link: https://www.econbiz.de/10010363240
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Window dressing in mutual funds
Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2013 - First Version: March 31, 2011, This version: July 26, 2013
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and its disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...
Persistent link: https://www.econbiz.de/10009784848
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Is local bias a cross-border phenomenon? : evidence from individual investors’ international asset allocation
Baltzer, Markus; Stolper, Oscar; Walter, Andreas - 2013
Extant literature consistently documents that investors tilt their domestic equity portfolios towards regionally close stocks (local bias). We hypothesize that individual investors’ local bias is not limited to the domestic sphere but instead also determines their international investment...
Persistent link: https://www.econbiz.de/10009740268