Ambiguity and private investors' behavior after forced fund liquidations

• 成果类型: Article
• 署名作者: Meyer, Steffen; Uhr, Charline
• 署名单位: Aarhus University; Danish Finance Institute
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103849
• 发表日期: 2024
• 关键词: Ambiguity; uncertainty; individual investor; reinvestment; inertia; risk-taking

摘要

We investigate individual investors' decisions under time-varying ambiguity (VVIX) using plausibly exogenous forced mutual fund liquidations at a German brokerage. Investors reinvest 87% of forced liquidations when the refund occurs on a day of low ambiguity and 0% when it occurs on a day of high ambiguity. Instead of reinvesting, investors become inert and keep the refund in their cash holdings. The effect reverses approximately six months after the liquidation. If investors reinvest, they decrease their risk-taking under ambiguity. Our results are not driven by risk, rebalancing decisions, experiencing losses, or attention and are robust to alternative measures of ambiguity.