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Fund Flows and Fund Performance on Lottery Funds

Author

Listed:
  • Chun-Yen Chen

    (National Chengchi University, Zhinan Road, Wenshan District, Taipei 11605, Taiwan)

  • Hong-Yi Chen

    (National Chengchi University, Zhinan Road, Wenshan District, Taipei 11605, Taiwan)

  • Hsiao-Yin Chen

    (Chung Yuan Christian University, Zhongbei Road, Zhongli District, Taoyuan City 320314, Taiwan)

Abstract

This study introduces a new indicator to measure the lottery-like degree of financial products by considering their idiosyncratic volatility and skewness. The findings indicate that investors tend to purchase funds that hold lottery-like stocks, while investors prefer lottery-like funds when the market sentiment is high. However, funds holding lottery-like stocks and those exhibiting lottery traits experience relatively lower adjusted returns in the next quarter. Interestingly, when the market sentiment is high, investors can obtain better performance only from funds that hold lottery-like stocks, indicating that investors may be better off selecting lottery-holding funds rather than lottery-like funds during periods of high sentiment. Overall, our study sheds light on investor behavior and the impact of market sentiment on fund flows and performance in lottery-like funds.

Suggested Citation

  • Chun-Yen Chen & Hong-Yi Chen & Hsiao-Yin Chen, 2024. "Fund Flows and Fund Performance on Lottery Funds," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 27(03), pages 1-35, September.
    • Handle: RePEc:wsi:rpbfmp:v:27:y:2024:i:03:n:s0219091524500176
    DOI: 10.1142/S0219091524500176
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    More about this item

    Keywords

    Investor behavior; lottery-holding fund; lottery-like fund; market sentiment; investor behavior;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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