Prospect theory in the field: Revealed preferences from mutual fund flows

• 成果类型: Article
• 署名作者: Han, Bing; Sui, Pengfei; Yang, Wenhao
• 署名单位: University of Toronto; The Chinese University of Hong Kong, Shenzhen; University of North Carolina; University of North Carolina Charlotte
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104221
• 发表日期: 2026-02
• 页码: 104221
• 关键词: Prospect theory; revealed preference; Investor demand; Mutual funds; performance; returns; probability; consumer; SALIENCE; BROKERS; models; CHOICE; stocks; skill

摘要

Using mutual fund flows, we evaluate prospect theory with choice outcomes in the market. We provide strong support for prospect theory: under a standard set of parameters, funds whose past returns generate higher prospect theory value attract significantly larger future flows; we also find corroborative evidence using account-level data. Taking a revealed preference approach, we estimate the prospect theory parameters through a discrete choice model and find that our field-based estimates align well with previous experiment-based estimates. Moreover, we show that prospect theory offers a new framework for understanding flows, as it has explanatory power beyond existing drivers.