Journal article
Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior
Management science, Vol.63(8), pp.2509-2528
08/01/2017
DOI: 10.1287/mnsc.2016.2432
Abstract
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.
Details
- Title: Subtitle
- Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior
- Creators
- C. Wei Li - Univ Iowa, Henry B Tippie Coll Business, Dept Finance, Iowa City, IA 52242 USAAshish Tiwari - Univ Iowa, Henry B Tippie Coll Business, Dept Finance, Iowa City, IA 52242 USALin Tong - Fordham University
- Resource Type
- Journal article
- Publication Details
- Management science, Vol.63(8), pp.2509-2528
- Publisher
- Informs
- DOI
- 10.1287/mnsc.2016.2432
- ISSN
- 0025-1909
- eISSN
- 1526-5501
- Number of pages
- 20
- Language
- English
- Date published
- 08/01/2017
- Academic Unit
- Finance
- Record Identifier
- 9984380397202771
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