Cautious Risk Takers: Investor Preferences and Demand for Active Management

• 成果类型: Article
• 署名作者: Polkovnichenko, Valery; Wei, Kelsey D.; Zhao, Feng
• 署名单位: University of Texas System; University of Texas Dallas; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12747
• 发表日期: 2019
• 页码: 1025-1075
• 关键词: MUTUAL FUND PERFORMANCE; cross-section; diversification; Sentiment; skewness; aversion; prices; CHOICE; skill; FLOWS

摘要

Despite their mediocre mean performance, actively managed mutual funds are distinct from passive funds in their return distributions. Active value funds better hedge downside risk, while active growth funds better capture upside potential. Since such performance features may appeal to investors with tail-overweighting preferences, we show that preferences for downside protection and upside potential estimated from the empirical pricing kernel can help explain active fund flows in the value and growth categories, respectively. This effect of investor risk preferences varies significantly with funds' downside-hedging and upside-capturing ability, with levels of active management, and across retirement and retail funds.