“Old Money Matters: The Sensitivity of Mutual Fund Redemption Decisions to Past Performance
This paper shows that individual investors are reluctant to sell mutual funds that have appreciated in value and are willing to sell losers, in stark contrast to their stock trading where the disposition effect dominates. Comparison of trades in taxable and tax-deferred accounts suggests that a good share of this negative relation can be explained by tax-motivated trading, with the remainder of the negative relation consistent with investors’ belief in fund performance persistence. Aggregating transactionlevel data for a sample of individual investors to construct fund inflows and outflows, we find that both inflows and outflows of individual investors are sensitive to past performance, but in very different ways. Inflows are largely driven by “relative performance, suggesting that new money chases the best performers in an objective, with little relation to the fund’s “absolute performance. In contrast, outflows are exclusively driven by the absolute performance of the fund, the relevant benchmark for tax purposes, with little relation to relative performance.
Mutual fund flows Individual investor portfolio choice Capital gains lock-in Behavioral finance
Zoran Ivkovi(c) Scott Weisbenner
Department of Finance, University of Illinois at Urbana-Champaign, 340 Wohlers Hall, 1206 South Sixth Street, Champaign, IL 61820
国际会议
成都
英文
1-43
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）