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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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Investor Behavior under Prospect Theory : Evidence from Mutual Funds
Guo, Jin; Schoenleber, Lorenzo - 2021
This paper studies the investment behavior of investors and fund managers within the mutual funds industry. We find that investors are biased in their fund purchase decisions in a way described by prospect theory: The prospect theory value predicts future fund flows, even though it is not...
Persistent link: https://www.econbiz.de/10013240251
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A prospect theoretical approach to investing
Dvinyaninova, Tatiana - 2016
Anlageempfehlungen typischer Weise basiert auf der generellen Risikoaversion und dem Anlagehorizont der Investoren machen, wird ihre … investors' general degrees of risk aversion and investment horizons only, their heterogeneity with respect to loss aversions or …
Persistent link: https://www.econbiz.de/10011449289
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Loss-averse preferences, performance, and career success of institutional investors
Bodnaruk, Andrij; Simonov, Andrei - In: The review of financial studies 29 (2016) 11, pp. 3140-3176
Persistent link: https://www.econbiz.de/10011620011
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A moral foundations framing approach : retail investors' investment intention in ethical mutual funds
Liu, Jing; Peifer, Jared L. - In: Business & society 61 (2022) 7, pp. 1804-1837
Persistent link: https://www.econbiz.de/10013396349
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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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Does direct-sold funds provide a sizeable edge to investors? : evidences from selected mutual funds in India
Seal, Jayanta Kumar; Paul, Arunima - In: Cogent economics & finance 7 (2019) 1, pp. 1-17
In this study, an attempt has been made to find out why investors still prefer broker-sold fund over direct-sold fund despite the superior performance of the latter. We find the sensitivity of funds flow in selected direct-sold funds and broker-sold funds in India. We do not find any evidence...
Persistent link: https://www.econbiz.de/10012023959
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Are analyst trade ideas valuable?
Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019
Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...
Persistent link: https://www.econbiz.de/10012120228
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Fake alpha
Müller, Marcel; Rosenberger, Tobias; Uhrig-Homburg, … - 2017
Why do investors entrust active mutual fund managers with large sums of money while receiving negative excess returns on average? Our explanation is that investors have a coarser information set than fund managers which leads them to systematically misinterpret managers' skill. When investors...
Persistent link: https://www.econbiz.de/10011590851
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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