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Tham khảo sách 'the behavior of mutual fund investors', tài chính - ngân hàng, quỹ đầu tư phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | The Behavior of Mutual Fund Investors Brad M. Barber bmbarber@ucdavis.edu www.gsm.ucdavis.edu bmbarber Terrance Odean odean@ucdavis.edu www.gsm.ucdavis.edu odean Lu Zheng luzheng@umich. edu First Draft September 20 2000 Please do not quote without permission from the authors. Please do not distribute. Barber and Odean are at the Graduate School of Management UC-Davis Davis CA 95616-8609. Zheng is at the School of Business Administration University of Michigan Ann Arbor MI 48109-1234. We are grateful to the discount brokerage firm that provided us with the data for this study. All errors are our own. The Behavior of Mutual Fund Investors Abstract We analyze the mutual fund purchase and sale decisions of over 30 000 households with accounts at a large U.S. discount broker for the six years ending in 1996. We document three primary results. First investors buy funds with strong past performance over half of all fund purchases occur in funds ranked in the top quintile of past annual returns. Second investors sell funds with strong past performance and are reluctant to sell their losing fund investments they are twice as likely to sell a winning mutual fund rather than a losing mutual fund and thus nearly 40 percent of fund sales occur in funds ranked in the top quintile of past annual returns. Third investors are sensitive to the form in which fund expenses are charged though investors are less likely to buy funds with high transaction fees e.g. broker commissions or front-end load fees their purchases are relatively insensitive to a fund s operating expense ratio. We argue that the representative heuristic leads investors to buy past winners the disposition effect renders investors reluctant to sell their losers and framing effects cause investors to react differently to various forms of fund expenses. Given extant evidence on the persistence of mutual fund performance one can reasonably argue that the purchase of last year s winning funds is rational. However we .
