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Investor Overconfidence, Over-extrap...

Gao, Jie.

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Investor Overconfidence, Over-extrapolation Bias, Mutual Fund Flow and Performance.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Investor Overconfidence, Over-extrapolation Bias, Mutual Fund Flow and Performance./
Author:	Gao, Jie.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
Description:	72 p.
Notes:	Source: Dissertations Abstracts International, Volume: 81-02, Section: A.
Contained By:	Dissertations Abstracts International81-02A.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13886591
ISBN:	9781085648912

Investor Overconfidence, Over-extrapolation Bias, Mutual Fund Flow and Performance.
Gao, Jie.

Investor Overconfidence, Over-extrapolation Bias, Mutual Fund Flow and Performance. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 72 p.

Source: Dissertations Abstracts International, Volume: 81-02, Section: A.

Thesis (Ph.D.)--University of California, Irvine, 2019.

This item must not be sold to any third party vendors.

I examine how mutual fund investor overconfidence and over-extrapolation bias affect mutual fund flow and future performance. By generalizing the model of Berk and Green (2004), I show that when investors over-extrapolate fund past return and/or are overconfident, fund flows no longer eliminate fund outperformance efficiently as predicted in their theory. Instead, fund future performance can be positively predicted by unit value-added, a variable that represents fund past performance, and negatively predicted by unit fee-added, a variable that represents fund flow activities. Using the U.S. actively managed mutual funds data, I find that the skill-competition variable constructed based on my model predicts fund future risk-adjusted performance. In addition, I find that investor overconfidence dominates over-extrapolation bias when investors make an investment decision on actively managed mutual funds.

ISBN: 9781085648912Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Behavioral finance

Investor Overconfidence, Over-extrapolation Bias, Mutual Fund Flow and Performance.
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245 1 0 $a Investor Overconfidence, Over-extrapolation Bias, Mutual Fund Flow and Performance.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2019
300 $a 72 p.
500 $a Source: Dissertations Abstracts International, Volume: 81-02, Section: A.
500 $a Advisor: Hirshleifer, David.
502 $a Thesis (Ph.D.)--University of California, Irvine, 2019.
506 $a This item must not be sold to any third party vendors.
520 $a I examine how mutual fund investor overconfidence and over-extrapolation bias affect mutual fund flow and future performance. By generalizing the model of Berk and Green (2004), I show that when investors over-extrapolate fund past return and/or are overconfident, fund flows no longer eliminate fund outperformance efficiently as predicted in their theory. Instead, fund future performance can be positively predicted by unit value-added, a variable that represents fund past performance, and negatively predicted by unit fee-added, a variable that represents fund flow activities. Using the U.S. actively managed mutual funds data, I find that the skill-competition variable constructed based on my model predicts fund future risk-adjusted performance. In addition, I find that investor overconfidence dominates over-extrapolation bias when investors make an investment decision on actively managed mutual funds.
590 $a School code: 0030.
650 4 $a Finance. $3 542899
653 $a Behavioral finance
653 $a Mutual fund
653 $a Overconfidence
653 $a Over-extrapolation bias
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710 2 $a University of California, Irvine. $b Business Administration - M.B.A.. $3 3542799
773 0 $t Dissertations Abstracts International $g 81-02A.
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793 $a English
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