Exposure to Left‐Tail Risk, Risk Appetite, and Mutual Fund Flows
研究发现，基金对左尾风险的敏感度越高，其资金流入和业绩越差，且基金调整左尾风险的速度较慢，高左尾风险基金持有的个股估值偏高是业绩不佳的原因。
ABSTRACT Using a measure of aggregate tail risk, we show that a fund's sensitivity (exposure) to tail risk negatively affects the fund flows and the fund's performance. Further, a fund's tail risk sensitivity relates positively to the left‐tail risk measures of the fund. We estimate the left‐tail risk measures non‐parametrically using daily fund returns and find that the measures also relate negatively to the funds’ future cross‐sectional investor flows and (cumulative) risk‐adjusted performance. We further find that funds, on average, are slow at changing their left‐tail risk. On examining the portfolio holdings of funds, we find that a fund's left‐tail risk is positively related to the left‐tail risk of individual stocks in its portfolio. Additionally, funds with higher left‐tail risk also hold stocks with higher idiosyncratic risk and skewness. The poor performance of funds with higher left‐tail risk appears to be due to the over‐valuation of stocks in their portfolios. Given the recent finding of a left‐tail return momentum for stocks with high left‐tail risk, mutual funds which continue to hold stocks with exposure to left‐tail risk, underestimate the persistence in left‐tail risk and the associated overpricing.