Barking up the wrong tree: Return-chasing in 401(k) plans

• 成果类型: Article
• 署名作者: Tran, Anh; Wang, Pingle
• 署名单位: University of Connecticut; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.02.004
• 发表日期: 2023
• 页码: 69-90
• 关键词: mutual funds; 401(k); Fund flows; wealth inequality; financial literacy

摘要

This paper examines investors' retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a return-chasing strategy. In contrast, the remaining 17% of wealthy investors with relatively higher financial literacy follow CAPM alpha. This difference between the two investor groups explains why fund flows respond to returns at the plan level but to CAPM alpha at the aggregated fund level. Return-chasing by unwealthy investors is not optimal, as it significantly underperforms a strategy that passively invests in the existing funds in their plans.(c) 2023 Elsevier B.V. All rights reserved.