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

页码：678 / 706

页数：29

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