Do Investors Care About Tail Risk? Evidence from Mutual Fund Flows-葡萄牙vs塞尔维亚比赛直播 经济学院统计学与数据科学系

Do Investors Care About Tail Risk? Evidence from Mutual Fund Flows

主讲人:Yong Chen

Yong Chen is a Professor of Finance, the David R. Norcom’ 73 Endowed Professor, and Coordinator of the Finance Ph.D. Program at Mays Business School, Texas A&M University. Prior to joining Mays Business School in 2012, he was on the faculty of Virginia Tech. Dr. Chen received B.A. and M.A. in Economics from Nankai University and Ph.D. in Finance from Boston College. Dr. Chen’s research area is empirical asset pricing and investments with a focus on the interaction between the investment of hedge funds and the behavior of asset prices. His research has been published in leading academic journals including the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, and Management Science and practitioner journals including Financial Analysts Journal and the Journal of Investment Management, as well as presented at numerous university workshops, academic and practitioner conferences, financial policymakers, and hedge funds. His research has received several awards and grants, such as the Graham and Dodd Scroll Award from the CFA Institute and a research grant from the Q group. Dr. Chen has taught advanced investments, derivatives, portfolio management, and empirical asset pricing at the undergraduate, MBA, MSF, and doctoral levels.


This paper examines investor attitude toward tail risk based on mutual fund flows. We show that fund flows are significantly sensitive to tail risk in the cross-section, even after controlling for fund performance and characteristics. Using terrorist attacks and COVID-19 as exogenous shocks to the investor fear level, we find that fund flows become increasingly sensitive to tail risk following the shocks, suggesting that fear is a driving force of the tail risk aversion. In particular, the flow-tail risk sensitivity during the onset of COVID-19 is about 7-15 times larger than that in other periods. The results are robust to examining international funds and alternative measures of tail risk. Overall, our findings suggest that investors care about tail risk beyond traditional risks.

时间:2023-06-16 (Friday) 14:30-16:00
地点:中科院数学与系统科学研究院南楼N204、厦大经济楼D236(线下分会场)、腾讯会议 ID:92921396317
主办单位:中国科学院大学经济与管理学院、中国科学院预测科学研究中心、葡萄牙vs塞尔维亚比赛直播 邹至庄经济研究院、NSFC“计量建模与经济政策研究”基础科学中心