Salience theory and mutual fund flows: Empirical evidence from China

Akbas, 2020, Do mutual fund investors overweight the probability of extreme payoffs in the return distribution?, J. Financ. Quant. Anal., 55, 223, 10.1017/S0022109018001345 Alok, 2020, Do Fund managers misestimate climatic disaster risk?, Rev. Financ. Stud., 33, 1146, 10.1093/rfs/hhz143 Amihud, 2013, Mutual Fund’s R-2 as predictor of performance, Rev. Financ. Stud., 26, 667, 10.1093/rfs/hhs182 An, 2020, Lottery-related anomalies: the role of reference-dependent preferences, Manag. Sci., 66, 473, 10.1287/mnsc.2018.3205 Antoniou, 2016, Investor sentiment, Beta, and the cost of equity capital, Manag. Sci., 62, 347, 10.1287/mnsc.2014.2101 Armstrong, 2019, Going for gold: An analysis of Morningstar analyst ratings, Manag. Sci., 65, 2310 Bae, 2012, What’s in a “China” name? A test of investor attention hypothesis, Financ. Manag., 41, 429, 10.1111/j.1755-053X.2012.01197.x Bailey, 2011, Behavioral biases of mutual fund investors, J. Financ. Econ., 102, 1, 10.1016/j.jfineco.2011.05.002 Baker, 2006, Investor sentiment and the cross-section of stock returns, J. Financ., 61, 1645, 10.1111/j.1540-6261.2006.00885.x Bali, 2011, Maxing out: stocks as lotteries and the cross-section of expected returns, J. Financ. Econ., 99, 427, 10.1016/j.jfineco.2010.08.014 Bali, 2017, A lottery-demand-based explanation of the Beta anomaly, J. Financ. Quant. Anal., 52, 2369, 10.1017/S0022109017000928 Barber, 2008, All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors, Rev. Financ. Stud., 21, 785, 10.1093/rfs/hhm079 Barberis, 2013, The psychology of tail events: Progress and challenges, Am. Econ. Rev., 103, 611, 10.1257/aer.103.3.611 Barberis, 2008, Stocks as lotteries: the implications of probability weighting for security prices, Am. Econ. Rev., 98, 2066, 10.1257/aer.98.5.2066 Barberis, 2003, Style investing, J. Fin. Economics, 68, 161, 10.1016/S0304-405X(03)00064-3 Barberis, 2016, Prospect theory and stock returns: An empirical test, Rev. Financ. Stud., 29, 3068, 10.1093/rfs/hhw049 Ben-Rephael, 2012, Measuring investor sentiment with mutual fund flows, J. Financ. Econ., 104, 363, 10.1016/j.jfineco.2010.08.018 Ben-Rephael, 2017, It depends on where you search: institutional investor attention and Underreaction to news, Rev. Financ. Stud., 30, 3009, 10.1093/rfs/hhx031 Bordalo, 2012, Salience theory of choice under risk, Q. J. Econ., 127, 1243, 10.1093/qje/qjs018 Bordalo, 2013, Salience and asset prices, Am. Econ. Rev., 103, 623, 10.1257/aer.103.3.623 Bordalo, 2013, Salience and consumer choice, J. Polit. Econ., 121, 803, 10.1086/673885 Bordalo, 2015, Salience theory of judicial decisions, J. Leg. Stud., 44, S7, 10.1086/676007 Bose, 2022, Decision weights for experimental asset prices based on visual salience, Rev. Financ. Stud., 35, 5094, 10.1093/rfs/hhac027 Brunnermeier, 2007, Optimal beliefs, asset prices, and the preference for skewed returns, Am. Econ. Rev., 97, 159, 10.1257/aer.97.2.159 Cakici, 2022, Salience theory and the cross-section of stock returns: international and further evidence, J. Financ. Econ., 146, 689, 10.1016/j.jfineco.2021.10.010 Chetty, 2009, Salience and taxation: theory and evidence, Am. Econ. Rev., 99, 1145, 10.1257/aer.99.4.1145 Cooper, 2005, Changing names with style: mutual fund name changes and their effects on fund flows, J. Financ., 60, 2825, 10.1111/j.1540-6261.2005.00818.x Cosemans, 2021, Salience theory and stock prices: empirical evidence, J. Financ. Econ., 140, 460, 10.1016/j.jfineco.2020.12.012 Da, 2011, In search of attention, J. Financ., 66, 1461, 10.1111/j.1540-6261.2011.01679.x Da, 2014, Frog in the Pan: continuous information and momentum, Rev. Financ. Stud., 27, 2171, 10.1093/rfs/hhu003 Da, 2021, Extrapolative beliefs in the cross-section: what can we learn from the crowds?, J. Financ. Econ., 140, 175, 10.1016/j.jfineco.2020.10.003 Dellavigna, 2009, Investor inattention and Friday earnings announcements, J. Financ., 64, 709, 10.1111/j.1540-6261.2009.01447.x Dertwinkel-Kalt, 2020, Salience and skewness preferences, J. Eur. Econ. Assoc., 18, 2057, 10.1093/jeea/jvz035 Dessaint, 2017, Do managers overreact to salient risks? Evidence from hurricane strikes, J. Financ. Econ., 126, 97, 10.1016/j.jfineco.2017.07.002 Firth, 2015, Corporate transparency and the impact of investor sentiment on stock prices, Manag. Sci., 61, 1630, 10.1287/mnsc.2014.1911 Frydman, 2020, The impact of salience on investor behavior: evidence from a natural experiment, J. Financ., 75, 229, 10.1111/jofi.12851 Goldie, 2019, Does MAX matter for mutual funds?, Eur. Financ. Manag., 25, 777, 10.1111/eufm.12192 Greenwood, 2014, Expectations of returns and expected returns, Rev. Financ. Stud., 27, 714, 10.1093/rfs/hht082 Hartzmark, 2019, Do Investors value sustainability? A natural experiment examining ranking and fund flows, J. Financ., 74, 2789, 10.1111/jofi.12841 Harvey, 2000, Conditional skewness in asset pricing tests, J. Financ., 55, 1263, 10.1111/0022-1082.00247 He, 2015, The performance and market timing ability of Chinese mutual funds, Financial Services Review, 24, 289 Hirshleifer, 2003, Limited attention, information disclosure, and financial reporting, Journal Of Accounting & Economics, 36, 337, 10.1016/j.jacceco.2003.10.002 Hirshleifer, 2009, Driven to distraction: extraneous events and Underreaction to earnings news, J. Financ., 64, 2289, 10.1111/j.1540-6261.2009.01501.x Huang, 2016, Local bias in investor attention: evidence from China’s internet stock message boards, J. Empir. Financ., 38, 338, 10.1016/j.jempfin.2016.07.007 Huang, 2018, Headline salience, managerial opportunism, and over- and Underreactions to earnings, Account. Rev., 93, 231, 10.2308/accr-52010 Huang, 2022, Natural disasters, risk salience, and corporate ESG disclosure, J. Corp. Finan., 72, 1, 10.1016/j.jcorpfin.2021.102152 Jiang, 2018, Does herding behavior reveal skill? An analysis of mutual fund performance, J. Financ., 73, 2229, 10.1111/jofi.12699 Jun, 2021, Deriving managerial skills by dissecting holding changes of mutual funds: evidence from China, Pac. Basin Financ. J., 68, 1, 10.1016/j.pacfin.2021.101612 Kumar, 2009, Who gambles in the stock market ?, J. Financ., 64, 1889, 10.1111/j.1540-6261.2009.01483.x Kumar, 2011, Religious beliefs, gambling attitudes, and financial market outcomes, J. Financ. Econ., 102, 671, 10.1016/j.jfineco.2011.07.001 Li, 2022, Predictable effects of visual salience in experimental decisions and games, Q. J. Econ., 137, 1849, 10.1093/qje/qjac025 Li, 2020, Annual report disclosure timing and stock price crash risk, Pac. Basin Financ. J., 62, 1, 10.1016/j.pacfin.2020.101392 Mitton, 2007, Equilibrium underdiversification and the preference for skewness, Rev. Financ. Stud., 20, 1255, 10.1093/revfin/hhm011 Newey, 1994, Automatic lag selection in covariance-matrix estimation, Review of Economic Studies, 61, 631, 10.2307/2297912 Ouyang, 2020, Selective pump-and-dump: the manipulation of their top holdings by Chinese mutual funds around quarter-ends, Emerg. Mark. Rev., 44, 1, 10.1016/j.ememar.2020.100697 Peress, 2020, Glued to the TV distracted noise traders and stock market liquidity, J. Financ., 75, 1083, 10.1111/jofi.12863 Sirri, 1998, Costly search and mutual fund flows, J. Financ., 53, 1589, 10.1111/0022-1082.00066 Sun, 2018, Only winners in tough times repeat: hedge fund performance persistence over different market conditions, J. Financ. Quant. Anal., 53, 2199, 10.1017/S0022109018000200 Tversky, 1992, Advances in Prospect-theory - cumulative representation of uncertainty, J. Risk Uncertain., 5, 297, 10.1007/BF00122574 Wagner, 2017, All about fun(ds) in emerging markets? The case of equity mutual funds, Emerg. Mark. Rev., 33, 62, 10.1016/j.ememar.2017.08.004 Wei, 2015, Uncommon value: the characteristics and investment performance of contrarian funds, Manag. Sci., 61, 2394, 10.1287/mnsc.2014.1982