Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior
研究模糊性厌恶如何影响共同基金投资者对基金业绩的反应，发现投资者更看重最差业绩指标，且零售基金比机构基金更明显。
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. This paper was accepted by Neng Wang, finance.