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
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