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
  • [41] Internet postings and investor herd behavior: evidence from China’s open-end fund market
    Shifen Zhou
    Xiaojun Liu
    Humanities and Social Sciences Communications, 9
  • [42] Predicting large amounts of accrued payables to redeem open-end funds
    Wang, Jin-yu
    Bi, Dan
    PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON GAME THEORY AND APPLICATIONS, 2007, : 193 - 198
  • [43] More Banks Will Join Open-end Fund Market
    China & World Economy, 2001, (02) : 7 - 7
  • [44] Research of performance clustering effects of open-end mutual funds in China
    School of Economics and Management, Nanjing University of Science and Technology, Nanjing, 210094, China
    Int. Conf. Serv. Syst. Serv. Manage. - Proc. ICSSSM, 1600, (366-370):
  • [45] THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON THE OPEN-END INVESTMENT FUNDS IN CROATIA
    Cingula, Domagoj
    Cingula, Marijan
    Calopa, Marina Klacmer
    5TH INTERNATIONAL SCIENTIFIC CONFERENCE ENTREPRENEURSHIP AND MACROECONOMIC MANAGEMENT: REFLECTIONS ON THE WORLD IN TURMOIL, VOL 1, 2011, : 517 - 533
  • [46] Measuring liquidity risk of open-end funds by generalized pareto distributions
    Wang, JY
    Li, X
    Cheng, W
    Proceedings of the 2005 International Conference on Management Science & Engineering (12th), Vols 1- 3, 2005, : 2071 - 2075
  • [47] The dilution impact of daily fund flows on open-end mutual funds
    Greene, JT
    Hodges, CW
    JOURNAL OF FINANCIAL ECONOMICS, 2002, 65 (01) : 131 - 158
  • [48] Predicting large amounts of accrued payables to redeem open-end funds
    Wang, Jinyu
    Bi, Dan
    PROCEEDINGS OF THE 2007 CONFERENCE ON SYSTEMS SCIENCE, MANAGEMENT SCIENCE AND SYSTEM DYNAMICS: SUSTAINABLE DEVELOPMENT AND COMPLEX SYSTEMS, VOLS 1-10, 2007, : 2095 - 2101
  • [49] What influences portfolio contagion among open-end mutual funds?
    Liu Junbin
    Liu Xiaoxing
    Shi Guangping
    FINANCE RESEARCH LETTERS, 2019, 30 : 145 - 152
  • [50] Redemption puzzle of open-end fund market in China
    Lu, Rong
    Chen, Baizhu
    Xu, Longbing
    Xie, Xinhou
    FRONTIERS OF ECONOMICS IN CHINA, 2008, 3 (03) : 430 - 450
12345