A behavioral model for mutual fund dynamics
| dc.contributor.advisor | Altı, Aydoğan | en |
| dc.contributor.committeeMember | Titman, Sheridan | en |
| dc.contributor.committeeMember | Sialm, Clemens | en |
| dc.contributor.committeeMember | Landvoigt, Tim | en |
| dc.contributor.committeeMember | Tompaidis, Stathis | en |
| dc.creator | Kim, Donghyun | en |
| dc.creator.orcid | 0000-0001-9641-8716 | en |
| dc.date.accessioned | 2015-11-04T20:38:45Z | en |
| dc.date.available | 2015-11-04T20:38:45Z | en |
| dc.date.issued | 2015-08 | en |
| dc.date.submitted | August 2015 | en |
| dc.date.updated | 2015-11-04T20:38:45Z | en |
| dc.description | text | en |
| dc.description.abstract | Based on Berk and Green (2004), I develop a model that explains the following well-known stylized facts on mutual funds in a unified framework: (i) a negative aggregate return, (ii) a short-term return persistence, and (iii) a convex return-flow relationship. In the model, agents learn about managers' time-varying abilities from fund returns and non-return information signals. Under decreasing returns to scale, investors equilibrate expected fund returns through fund flows, but their expectations are biased due to overconfidence about precision of non-return signals and overextrapolation of past return trends. I employ a Simulated Method of Moments (SMM) to estimate the model parameters. The model matches most of the 15 moments, and is not rejected at the 10% level. I run a horse race between rational equilibrating forces and behavioral inefficiencies by allowing parameters for biases determined by data. As a result, both information processing biases appear to be important to generate a negative aggregate return and short-term return persistence, and to improve a model fit. | en |
| dc.description.department | Finance | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier | doi:10.15781/T2D05P | en |
| dc.identifier.uri | http://hdl.handle.net/2152/32227 | en |
| dc.language.iso | en | en |
| dc.subject | Mutual fund | en |
| dc.subject | Behavioral bias | en |
| dc.title | A behavioral model for mutual fund dynamics | en |
| dc.type | Thesis | en |
| thesis.degree.department | Finance | en |
| thesis.degree.discipline | Finance | en |
| thesis.degree.grantor | The University of Texas at Austin | en |
| thesis.degree.level | Doctoral | en |
| thesis.degree.name | Doctor of Philosophy | en |