Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 9, 2022 erstellt
Beschreibung:
Using data from the U.S. mutual fund market, we study the nexus of the fund’s ambiguity exposure, risk-adjusted performance, and flows. Our metric of ambiguity exposure builds on theoretical development in the asset pricing implications of the smooth ambiguity model. We find that risk-adjusted fund returns incorporate a positive premium that compensates for greater exposure of the fund’s asset holdings to ambiguity. The flow analysis, however, suggests that fund investors chase positive risk-adjusted returns as a whole, regardless of whether seemingly better returns are driven by the ambiguity premium. Our results are consistent with findings on interpersonal heterogeneity in ambiguity attitudes from economic experiments, and provide unifying insights into recently identified market anomalies in the empirical finance literature