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Reference-dependent return chasing: Alpha, gains and fund flows
Brunner, Fabian
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Dokumenttyp:
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Präsentation auf Konferenz
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Erscheinungsjahr:
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2019
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Veranstaltungstitel:
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1st Conference on Behavioral Research in Finance, Gonvernance, and Accounting (BFGA 2019)
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Veranstaltungsort:
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Ebsdorfergrund, Germany
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Veranstaltungsdatum:
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07.-08.10.2019
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Betriebswirtschaftslehre > Internat. Finanzierung (Ruenzi 2009-)
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Fachgebiet:
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330 Wirtschaft
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Abstract:
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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.
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