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Prospect theory and mutual fund flows: Evidence from China

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  • Wang, Cheng
  • Han, Jing

Abstract

Using a sample of Chinese mutual funds over 2007–2021, we explore whether prospect theory (PT) accurately represents the risk preferences and behavior of Chinese fund investors. We find a significant positive relationship between the fund-level PT value and future flows. After controlling for the other lottery-type characteristics of fund returns, various characteristics of funds and fund families, and the convexity of the flow–performance relationship, the relation remains robust. Moreover, investors’ preferences for the lottery-type characteristics of PT values rather than increased fund visibility induce net fund inflows. Further, PT values positively and significantly predict future fund performance and skills. In the Chinese market, the flow–PT relationship is present among individual and institutional investors. Hence, we further expand the application scope and influencing mechanism of PT, providing a Chinese perspective of its application.

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  • Wang, Cheng & Han, Jing, 2023. "Prospect theory and mutual fund flows: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001336
    DOI: 10.1016/j.pacfin.2023.102067
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    Keywords

    Prospect theory; Mutual fund flows; Preference; Visibility;
    All these keywords.

    JEL classification:

    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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