Reference-dependent return chasing: Alpha, losses and fund flows


Brunner, Fabian



DOI: https://doi.org/10.2139/ssrn.3264799
URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Additional URL: https://www.semanticscholar.org/paper/Reference-De...
Document Type: Working paper
Year of publication: 2019
Place of publication: Mannheim
Publication language: English
Institution: Business School > Internat. Finanzierung (Ruenzi)
Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSB (Business Studies)
Subject: 330 Economics
Abstract: How mutual fund investors chase alpha (abnormal performance) with their money is strongly mediated by the nominal price gain or loss that they hold the fund at. For high alpha funds, the investment response to alpha is reduced by as much as 37% if the fund is held at a loss as opposed to a gain considering the average dollar invested. This distinct interaction of alpha and losses attenuates the performance-flow relation and eliminates convexity for high alpha but loss funds. The empirical evidence supports ambiguity aversion and the social transmission of investment opportunities as mechanisms.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Brunner, Fabian (2019) Reference-dependent return chasing: Alpha, losses and fund flows. Mannheim [Working paper]


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