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Salience and Mutual Fund Investor Demand for Idiosyncratic Volatility

We find that mutual fund investors are more likely to both purchase and redeem funds with high idiosyncratic volatility (IV). Investors’ tendency to purchase high IV funds is largely driven by high IV funds having more extreme returns, which increases the salience of the fund. Including flexible controls for extreme past returns over multiple horizons decreases the effect of IV on new investment, and experimental evidence corroborates that increasing the salience of extreme returns increases investor demand for IV. Demand for IV is higher among retail investors and funds with otherwise lower salience. Collectively, the evidence suggests that extreme returns attract investor attention and contribute to investors’ risk seeking behavior when purchasing mutual funds.

Ketersediaan

Informasi Detail

Judul Seri

MANAGEMENT SCIENCE; Vol.67 No.8 August 2021

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 5234-5254

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

MUTUAL FUNDS
SALIENCE
LIMITED ATTENTION
IDIOSYNCRATIC VOLATILITY

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Christopher P. Clifford, Jon A. Fulkerson, Russell Jame, Bradford D. Jordan

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