Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior

• 成果类型: Article
• 署名作者: Li, C. Wei; Tiwari, Ashish; Tong, Lin
• 署名单位: University of Iowa; Fordham University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2432
• 发表日期: 2017
• 页码: 2509-2528
• 关键词: Ambiguity aversion; mutual fund performance; INVESTOR BEHAVIOR; Bayesian learning; Flow-performance sensitivity

摘要

We provide novel evidence on the role of ambiguity aversion in determining the response of mutual fund investors to fund performance. Our analysis is motivated by theoretical models of decision making by ambiguity-averse investors. A key implication of the models is that when investors face information signals of uncertain quality, they place a greater weight on the worst signal. We find strong empirical support for this prediction in the form of heightened sensitivity of investor fund flows to the worst performance measure across multiple horizons. This effect is particularly pronounced for retail funds in contrast to institutional funds.