Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	陈勇, 德州农工大学梅斯商学院
Inviter:	洪永淼研究员
Title:	Do Investors Care About Tail Risk? Evidence from Mutual Fund Flows
Language:	English
Time & Venue:	2023.06.16 16:30-18:00 南楼204
Abstract:	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.