Market States and Lottery Preference: Evidence from Chinese Open-End Funds

被引：0
|
作者：
He, Rongxin [1 ]
Hsieh, Pei-Lin [2 ]
机构：
[1] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China
[2] Natl Cent Univ, Sch Management, Dept Finance, 300 Jhongda Rd, Taoyuan City 32001, Taiwan
来源：
ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | 2023年 / 52卷 / 05期
关键词：
State-dependent; Lottery preference; Maximum return; Open-end funds; Salience theory; G02; G11; G23; FLOWS; PROBABILITY; SALIENCE; MATTER;
D O I：
10.1111/ajfs.12437
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Recent studies find that investors prefer funds with lottery-like payoffs. Using a sample of Chinese open-end funds, we show that investors' preference for funds' extreme positive payoffs (MAXs) depend on the state of the market: it is significant for MAXs in an unfavorable market but weak or reversed for those in a favorable market. Such state-dependent preference is irrational because, inconsistent with the flow-MAX relationship, higher MAXs under market downturns are associated with worse performance. We further document support for the salience-theory-based explanation for investors' preference and provide counter-evidence for alternative mechanisms based on rational choice or changes in aggregate flows.
引用
收藏
页码：678 / 706
页数：29
相关论文
共 50 条
  • [1] Herding in Open-end Funds: Evidence from China
    Wang, Hu
    Li, Shouwei
    Ma, Yuyin
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 57
  • [2] Trading Strategies of Open-End Funds and the Influencing Factors: Evidence from China Security Market
    Zheng, Dongni
    Li, Ping
    PROCEEDINGS OF THE 2012 INTERNATIONAL CONFERENCE ON MANAGEMENT INNOVATION AND PUBLIC POLICY (ICMIPP 2012), VOLS 1-6, 2012, : 217 - 222
  • [3] Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds
    Wang, Hu
    Li, Shouwei
    Ma, Yuyin
    Jiang, Shuyang
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 60
  • [4] Empirical Research on Securities Selection and Market Timing Ability of Chinese Open-end Funds
    Zhang, Xiaofeng
    Lv, Ling
    Liu, Tian
    Zhang, Rui
    ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 714 - 720
  • [5] Mutual fund family ownership and stock return: evidence from Chinese stock open-end funds
    Zhu, Linglin
    Liu, Yucan
    PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON ECONOMIC AND BUSINESS MANAGEMENT (FEBM 2017), 2017, 33 : 975 - 981
  • [6] Volatility Comparison among Certain Chinese Open-end Funds
    Yang Naiding
    Dong Tieniu
    Guo Xiao
    Jiang Jijiao
    2007 INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-15, 2007, : 4085 - 4088
  • [7] Study on the factors that affect returns of Chinese open-end funds
    Wang, XX
    Jin, X
    Proceedings of the 2005 International Conference on Management Science & Engineering (12th), Vols 1- 3, 2005, : 1914 - 1917
  • [8] Research on market timing ability of Chinese open-end fund
    Yang Shao-jie
    Zhuo Bai-yu
    Wu Dong-mei
    Proceedings of the 2006 International Conference on Management Science & Engineering (13th), Vols 1-3, 2006, : 1633 - 1636
  • [9] Effects of Stock Open-end Fund Holdings on Equity Issuance Intention: Evidence from Chinese Securities Market
    Shen, Jia
    Liu, Yucan
    2013 SIXTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE), 2014, : 276 - 280
  • [10] An Empirical Analysis of the Volatility in the Open-End Fund Market: Evidence from China
    Xie, Shiqing
    Huang, Xichen
    EMERGING MARKETS FINANCE AND TRADE, 2013, 49 : 150 - 162
12345