Using Quantile Regression to Analyze Mutual Fund Risk and Investor Behavior of Variable Life Insurance

In this study, we identified the relationship between purchase and redemption behavior of flow-return and flow-fund characteristics within different group investors by using Quantile regression. Our results showed that, under different levels of fund risks, fund performance would affect purchase behavior in the ways of preferring higher fund turnover and lower fund expense ratio for insured investors. In addition, risk-averse investors would actively redeem funds with strong performance and funds with high risk.