Behavioral biases of mutual fund investors

• 成果类型: Article
• 署名作者: Bailey, Warren; Kumar, Alok; Ng, David
• 署名单位: Cornell University; University of Miami; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.05.002
• 发表日期: 2011
• 页码: 1-27
• 关键词: individual investors; Mutual funds; Trend chasing; Behavioral biases; factor analysis

摘要

We examine the effect of behavioral biases on the mutual fund choices of a large sample of US discount brokerage investors using new measures of attention to news, tax awareness, and fund-level familiarity bias, in addition to behavioral and demographic characteristics of earlier studies. Behaviorally biased investors typically make poor decisions about fund style and expenses, trading frequency, and timing, resulting in poor performance. Furthermore, trend chasing appears related to behavioral biases, rather than to rationally inferring managerial skill from past performance. Factor analysis suggests that biased investors often conform to stereotypes that can be characterized as Gambler, Smart, Overconfident, Narrow Framer, and Mature. (C) 2011 Elsevier B.V. All rights reserved.