Loss aversion and the disposition effect around the world

• Autor(a) principal: Guan, Menglin
• Data de Publicação: 2014
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/12048
• topic: Drawdown risk; Loss aversion; Disposition effect; Flow-performance relationship; Gestão financeira; Fundos de investimento; Risco financeiro -- Financial risk

In this article, we study how the performance of mutual fund affects investor’s behavior. I use mutual fund from around the world and analyse cross country differences on a sample of 45 countries. The study focuses on investigating the loss aversion, the disposition effect, and risk-aversion. Empirical results show that investors pay more attention on the fund which attracted larger fund flows previously, and loss aversion, disposition effect is significant among around half countries’ investors. Bigger funds are preferred by investors before financial crisis and this result changed after the crisis. The evidence is weak to conclude that whether the investors prefer older funds.