MANAGEMENT SCIENCE · VOL. 63, NO. 8 · August 2017

模糊条件下的投资决策：从共同基金投资者行为得到的证据

作者：C. Wei Li (University of Iowa- Henry B. Tippie College of Business), Ashish Tiwari (University of Iowa- Henry B. Tippie College of Business), Lin Tong (Fordham University-Gabelli School of Business-Finance and Business Economics Area)

摘要：本文提供了模糊厌恶在确定共同基金投资者对基金业绩的反映方面作用的新证据。本文分析动机来源于模糊厌恶投资者决策制定的理论模型。模型的一个关键推论在于，当投资者面临质量不确定的信息信号时，他们对反映最坏情况的信号重视程度更大。本文关于这一预测发现了强有力的实证支持，其表现形式是在多层次视野中投资者资金流向最差业绩表现的敏感性提高。与机构基金相比，这种影响对于零售基金更加明显。

关键词：模糊厌恶，共同基金表现，投资者行为，贝叶斯学习，流向-业绩敏感性

Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior

C. Wei Li (University of Iowa- Henry B. Tippie College of Business), Ashish Tiwari (University of Iowa- Henry B. Tippie College of Business), Lin Tong (Fordham University-Gabelli School of Business-Finance and Business Economics Area)

ABSTRACT

We provide novel evidence on the role of ambiguity aversion in determining the response of mutual fund investors to fund performance. Our analysis is motivated by theoretical models of decision making by ambiguity-averse investors. A key implication of the models is that when investors face information signals of uncertain quality, they place a greater weight on the worst signal. We find strong empirical support for this prediction in the form of heightened sensitivity of investor fund flows to the worst performance measure across multiple horizons. This effect is particularly pronounced for retail funds in contrast to institutional funds.

Keywords: ambiguity aversion; mutual fund performance; investor behavior; Bayesian learning; flow–performance sensitivity

原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%283878e4ed1e24280afb6718d09513019b%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D2331486&ie=utf-8&sc_us=1219952400633158748

翻译：景薇