| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11474
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| DP11474 Culture vs. Bias: Can Social Trust Mitigate the Disposition Effect? |
| Massimo Massa; Hong Zhang
|
| 发表日期 | 2016-08-29
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | We examine whether the investors sensitivity to behavioral biases is influenced by the social norms they are exposed to. We focus on the disposition effect of mutual fund investors. We consider two competing hypotheses. On the one hand, trust, by increasing the credibility of the numbers reported by the fund managers elicits stronger investor reactions. This results in a higher flow-performance sensitivity, which mitigates the tendency of selling winners and holding onto losers. One the other hand, societal trust, reducing the concern of expropriation, lowers the necessity for investors to react to bad performance. The resulting lower flow-performance sensitivity increases the disposition effect. Based on a proprietary dataset of the complete account-level trading information for all investors of a mutual fund family in China, we find compelling evidence that: 1) fund investors exhibit disposition effect; 2) a higher degree of social trust is associated with higher flow-performance-sensitivity; 3) (high) trust-induced flows mitigate the disposition effect. Our results suggest that behavioral bias may be strongly influenced by social norms. |
| 主题 | Financial Economics
|
| 关键词 | Trust
The disposition effect
Mutual funds
|
| URL | https://cepr.org/publications/dp11474
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540288
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推荐引用方式
GB/T 7714 |
Massimo Massa,Hong Zhang. DP11474 Culture vs. Bias: Can Social Trust Mitigate the Disposition Effect?. 2016.
|
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