文澜学术系列讲座 第104期 南开大学程华助理教授:“Lottery-like Features and Mutual Fund Flow-Performance Relationship”
日期:2018-04-04             信息来源:文澜学院

主题|TopicLottery-like Features and Mutual Fund Flow-Performance Relationship(共同基金的彩票特征及其资金流-回报关系)

时间|Time48号(周日)|April 8 (Sunday),200 - 500 PM

地点|Venue文波208208WENBO


主讲|Speaker

程华老师本科毕业于北京大学,研究生毕业于美国密苏里大学,博士毕业于美国德克萨斯大学,现为南开大学金融学院助理教授。他的主要研究方向为公司金融、银行和公共经济学等。目前已经在Emerging Markets ReviewPacific Economic Review等国际学术期刊发表文章,并有多篇工作论文正在进行中。


研究领域|Research Interests 

公司金融、银行、公共经济学

Corporate finance, Banking, Public Economics


摘要|Abstract

We investigate the role of lottery-like features in explaining mutual fund flow-performance sensitivity. A strong substitution effect between past performance and lottery-like features appear. That is, if a fund has low past performance but with salient lottery-like features, then investors still pursue this fund. Double sorting by past performance and lottery-like features also shows that funds with very low and very high past performance have a stronger substitution effect, and flow-performance sensitivity is stronger when lottery-like features are salient. Our results hold when using various measures of past performance and both maximum and skewness of past performance as measures of lottery-like features. This type of gambling clienteles could motivate fund managers to pursue more risk in exchange of more salient lottery-like features.