Do Mutual Fund Investors Overweight the Probability of Extreme Payoffs in the Return Distribution?
研究发现，投资者在选择基金时倾向于高估过去出现过的极端高收益的概率，导致基金的最大月度收益（MAX）与未来资金流入正相关，但MAX并不能预测未来业绩。
We investigate the role of extreme positive payoffs in the distribution of monthly fund returns in investors’ mutual fund preferences. We document a positive and significant relationship between the maximum style-adjusted monthly return (MAX) and future fund flows. The relationship is robust to controlling for average performance, volatility, skewness, and various other fund characteristics. Our findings are consistent with the notion that fund investors overweight the probability of high payoff states in the past return distribution. We further show that MAX is not a useful predictor of future performance and that an increase in a fund’s visibility does not explain our findings.