MS-智能手机交易技术、投资者行为和共同基金表现（英）_市场营销策划_2024年市场报告-3月第4周.docx

informsMANAGEMENTSCIENCEArticlesInAdvance,pp.1-20ISSN0025-1909(print),ISSN1526-5501(online)SmartphoneTradingTechnology,InvestorBehavior,andMutualFundPerformancePgAJ4>SaJSlq8=B.AwosnWUOSdJO1.E寸：EZIE"寸ZoZIPjoNOeUOSGZOCZ一Z/二Z-Aq8JOSWJOJ=UIO±PaPEO-UMOaXiaoCenaaMaysBusinessSchl,TexasA&MUniversity,CollegeStation,Texas77843Contact:xcenmays.tamu.edu,https:/orcid.org/0000-0003-3915-5889(XC)Keywords:smartphonetechnologyinvestmentmutualfundfintechinvestorbehaviorAbstract.Usingproprietaryindividual-leveltradingdataaroundanaturalexperimentthereleaseofasmartphonetradingappbyalargeinvestmentadvisorthisstudyinvestigateshowsmartphonetradingtechnologyaffectsretailinvestorbehaviorandmutualfundperformance.Appadoptionbyretailinvestorsleadstoanincreaseininvestorattentionandtradingvolume.Appadopters"flowsbecomemoresensitivetoshort-termfundreturnsandmarketsentiment,resultinginhigheraggregateflowvolumeamongadopters.Thefundsmoreexposedtotheshockexperienceagreaterdeclineinabnormalreturns,likelyattributabletohigherfundflowvolumeandliquiditycosts.Asaresult,bothadoptersandnonadoptersexperienceadeclineintheirmutualfundinvestmentreturns.History:Acceptedby1.inWilliamCong,finance.Funding:TheW.EdwardsDemingCenterandtheEugene1.angEntrepreneurshipCenteratColumbiaUniVerSityprovidedfundingtosupportthisresearch.SupplementalMaterial:Theonlineappendicesanddatafilesareavailableatmnsc.2021.02099.Received:June26,2021Revised:June21.2022;March28,2023Accepted:May29,2023PublishedOnlineinArticlesinAdvance:November28,2023Copyright:©2023INFORMStheonehand,traditionalpersonalmputer(PC)tradingalreadyprovideshigh-speedexecutionWithlowtransactioncosts.TheincrementalcostreductionassociatedwithgoingmobilemaynotsignificantlyaffectinvestortradingdecisionsifthetradingappsprovidethesameinformationcontentasPCplatforms.Howzzgoingmobile,zaffectsinvestortradingdecisionsandmutualfundperformanceisanopenquestion.OnOntheotherhand,theconvenientaccessandintuitiveinterfaceofthesmartphoneappsmayleadtoincreasedusageofatradingplatformandheightenedinvestorattention.Thisgreaterexposuretomarketinformationmayamplifytradingpatternsofmutualfundinvestors(e.g.,flowperformancesensitivity),whichcouldresultinhigherflowvolumeandliquiditycostsatthemutualfundlevel(Edelen1999zCovalandStafford2007).Toinvestigatetheeffectofsmartphonetradingoninvestorbehaviorandfundperformance,IexplorethereleaseofasmartphonetradingappbyoneofChina'slargestinvestmentadvisorsasashocktoinvestors/adoptionofsmartphonetradingtechnology.TheappprovidesinvestorswithamoreflexiblewaytoaccessmarketinformationandexecutetradesmparedwiththeexistingonlinetradingplatformforPCs.Istartbyusingadifference-in-differences(DID)frameworktocomparethebehaviorchangesofappadopters(investorswhoswitchedfromPCtradingtotheapp)andmatchednonadopters(investorswhocontinuedtouseonlythetraditionalonlineplatform)followingthereleaseoftheapp.ThisapproachenablesmetoisolatePgAJ4>SaJSlq8IW.AwoUsnWUOSJodJO工E寸：EZIE"寸ZoZq2rt工OZcoSGZOCZIZ二Z-Aq=PUPEO-UMOatheincrementaleffectOfgoingmobilewhilecontrollingforinvestorheterogeneityandsomekeytradingplatformfeatures(e.g.ztransactionfeesandexecutionspeeds).Myanalysisindicatesthatfollowingthereleaseoftheappzadoptersdemonstrateasignificantincreaseinattention,asmeasuredbythenumberofloginstothetradingplatform,aswellasintradingvolume,relativetononadopterswithsimilarpredeterminedcharacteristics.Interestingly,goingmobilealsoaffectsadopters/responsestoshort-termmarketsignals.Forexample,relativetononadoptersaftertheshock,theadopters'flowdisplayssignificantlyhighersensitivitytofundreturnsinthepreviousweek,whichhasnotbeenpreviouslydocumented.Additionally,adopters'flowsensitivitytomarketsentimentincreasescomparedwiththatofnonadopters.Furtheranalysesbasedonthecross-individualvariationinincrementalattentionsuggestthatincreasedinvestorattentionlikelycontributestotheobservedchangesintradingbehavior.Thepreviousanalysishasonecaveatinvestorsmayself-selectintoadoptingtheapp,leadingtoendogeneityconcerns.Toaddressthisissue,Iusethevariationintreatmentintensityaroundtheborderbetweentwoprovincesdifferentiallyexposedtothetechnologyshock.Thevariationinexposurearisesfromtheheterogeneityinmobilenetworkqualityandsmartphonepenetrationratesacrossprovinces.4Specifically,Icompareinvestorslivinginpairsofneighboringprefectures3thatshareaborderbutbelongtodifferentprovinceswithvaryingsmartphonepenetrationrates.Priortotheshock,theseinvestorshadsimilarobservablecharacteristics,exceptfortheexposuretothetechnologyshock.Aftertheshock,theseinvestors'tradingbehaviordiverges,lendingsupporttothecausalinterpretationoftheapp,simpactoninvestorattention,tradingvolumes,and(weekly)flowsensitivitytofundperformanceandmarketsentiment.Onenaturalquestioniswhetherthechangesininvestorbehaviorcanhaveasignificantimpactonthemutualfundsasawhole.Onepossibilityisthattheincreasedtradingcomovementamongindividualinvestorsleadstoahighervolumeoffundflows,whichinturncouldresultingreaterliquidityco