Cognitive Skills and Economic Preferences in the Fund Industry
通过对基金经理进行实验，研究发现风险容忍度与基金风险正相关，模糊容忍度与跟踪误差正相关，而认知技能虽不解释超额收益，但高认知反思能力的经理会构建更低风险的基金。
Abstract We investigate the impact of cognitive skills and economic preferences on fund managers' professional decisions by running a battery of experiments with them. First, we find that fund managers’ risk tolerance positively correlates with fund risk when accounting for fund benchmark, fund category and other controls. Second, we show that fund managers’ ambiguity tolerance positively correlates with the funds’ tracking error from the benchmark. Finally, we report that cognitive skills do not explain fund performance in terms of excess returns. However, we do find that fund managers with high cognitive reflection abilities compose funds at lower risk.