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LTI@Unito
and Fondazione
Collegio Carlo
Alberto are
pleased to
invite you to
the following
webinar
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June 14, 2021 | 12:45 - 13:45
“Investor
Behavior under
Prospect
Theory:
Evidence from
Mutual Funds”
Lorenzo
Schoenleber
(Collegio
Carlo Alberto)
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Abstract.
This
paper studies
the investment
behavior of
investors and
fund managers
within the
mutual funds
industry. We
find that
investors are
biased in
their mutual
fund purchase
decisions in a
way described
by prospect
theory: The
prospect
theory value
predicts
future mutual
fund flows,
despite the
fact that it
is not related
to the mutual
funds’ future
performance.
We show that
the mutual
funds’
prospect
theory value
contains
incremental
information
compared to
historical
performance
measures
already
discovered in
the mutual
fund flow
literature,
and subsumes
the
information
content of
variables
related to the
convexity in
the
flow-performance
relationship.
We find that
mutual fund
managers are
not subject to
any behavioral
bias
identifiable
by prospect
theory when
selecting
stocks for
their mutual
fund
portfolio. The
results are
robust to
various
specifications.
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INFORMATION
UNDER THE NEW GENERAL
DATA PROTECTION
REGULATION (GDPR)
Your personal
information has been
gathered for the
exclusive purpose of
informing you about the
Collegio's initiatives,
considering our and your
legitimate interest or
your consent. If you
wish to have your
personal data modified
please contact
Fondazione Collegio
Carlo Alberto, piazza
Arbarello 8, 1022
Torino, Italy - phone:
+390116705000 - privacy@carloalberto.org
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© 2021 Fondazione
Collegio Carlo Alberto
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