Does performance-chasing behavior matter? International evidence

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2023-06-01 DOI:10.1016/j.mulfin.2023.100799

Jennifer Eunkyeong Lee , Hoon Cho , Doojin Ryu , Sangik Seok

引用次数: 0

Abstract

We use funds of hedge funds data from more than 40 countries to analyze how investors’ performance-chasing behaviors affect subsequent fund performance. Fund performance improves when investors are sensitive to past performance. Higher flow-performance sensitivity (FPS) leads to better subsequent performance. A one-standard-deviation increase in FPS is associated with an increase of around 1% per annum in subsequent performance. The positive effect is stronger when fund flows are less affected by market uncertainty, when funds are less prone to decreasing returns to scale, and when funds have shorter share restriction periods. This positive effect varies across regions, and it is most significant in low individualistic countries, suggesting that investors in low individualistic countries can influence fund performance through their response to past performance.

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追求业绩的行为重要吗?国际证据

我们使用来自40多个国家的对冲基金的基金数据来分析投资者追逐业绩的行为对后续基金业绩的影响。当投资者对过去的业绩敏感时，基金业绩就会改善。更高的流量性能灵敏度(FPS)意味着更好的后续性能。FPS每增加一个标准偏差，随后的性能每年就会增加约1%。当资金流动受市场不确定性影响较小、基金收益规模递减倾向较低、基金股份限制期限较短时，正效应更强。这种积极效应因地区而异，在低个人主义国家最为显著，这表明低个人主义国家的投资者可以通过对过去业绩的反应来影响基金业绩。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.