研究 | 隋鹏飞：前景理论的“实战”检验：解码共同基金市场下的投资者行为

Core Insights - The research validates the applicability of Prospect Theory in the mutual fund market, demonstrating that investors exhibit clear preferences for funds with higher TK values, which reflect favorable historical return distributions [9][10] - Despite the preference for high TK value funds, these funds tend to underperform in subsequent periods, indicating a degree of irrationality in investor behavior, often referred to as "Dumb Money" [9][10] Research Background - Prospect Theory, developed by Daniel Kahneman and Amos Tversky, describes decision-making under uncertainty and has been widely used to explain various financial anomalies, yet its real-world applicability remains insufficiently validated [6][8] - The study utilizes data from the CRSP U.S. mutual fund database, focusing on actively managed equity funds from 1981 to 2022, to explore whether Prospect Theory can explain actual investor decision-making [6][8] Research Methodology - A new metric called "TK value" was constructed to measure the attractiveness of mutual funds based on historical return distributions, incorporating key behavioral characteristics such as loss aversion and probability weighting [7][8] - The study employed panel regression models, portfolio sorting methods, and discrete choice models to analyze the relationship between TK values and future fund flows while controlling for various fund characteristics [7][8] Research Findings - Funds with higher TK values attracted significantly greater inflows in future periods, even after controlling for past performance, alpha values, fund size, and fees [8] - The study estimated a loss aversion coefficient of 1.824 and probability weighting parameters of 0.110 and 0.228 for gains and losses, respectively, indicating a stronger tendency for probability weighting compared to experimental results [8] Research Implications - The findings enhance the external validity of Prospect Theory by providing systematic empirical validation in real market data, offering insights into investor behavior and decision-making processes [10] - The research highlights the psychological biases influencing fund flows, which can inform mutual fund companies' product design, marketing strategies, and investor education [10]