Salience and Mutual Fund Investor Demand for Idiosyncratic Volatility
研究发现共同基金投资者更倾向于购买和赎回高特质波动率的基金，因为高特质波动率基金更可能出现极端收益，从而增加基金的显著性。
We find that mutual fund investors are more likely to both purchase and redeem funds with high idiosyncratic volatility (IV). Investors’ tendency to purchase high IV funds is largely driven by high IV funds having more extreme returns, which increases the salience of the fund. Including flexible controls for extreme past returns over multiple horizons decreases the effect of IV on new investment, and experimental evidence corroborates that increasing the salience of extreme returns increases investor demand for IV. Demand for IV is higher among retail investors and funds with otherwise lower salience. Collectively, the evidence suggests that extreme returns attract investor attention and contribute to investors’ risk seeking behavior when purchasing mutual funds. This paper was accepted by David Simchi-Levi, finance.