Cautious Risk Takers: Investor Preferences and Demand for Active Management
研究发现，主动管理基金在回报分布上不同于被动基金，价值型基金对冲下行风险，成长型基金捕捉上行潜力，投资者对下行保护和上行潜力的偏好分别解释了价值型和成长型主动基金的资金流动。
ABSTRACT Despite their mediocre mean performance, actively managed mutual funds are distinct from passive funds in their return distributions. Active value funds better hedge downside risk, while active growth funds better capture upside potential. Since such performance features may appeal to investors with tail‐overweighting preferences, we show that preferences for downside protection and upside potential estimated from the empirical pricing kernel can help explain active fund flows in the value and growth categories, respectively. This effect of investor risk preferences varies significantly with funds' downside‐hedging and upside‐capturing ability, with levels of active management, and across retirement and retail funds.