Journal of Financial Economics, In Press, Corrected Proof, Available online 14 November 2016

華爾街日報基金業績排名——媒體關注度對消費者和基金投資者決策的影響

作者：Ron Kaniel (University of Rochester), Robert Parham (University of Rochester)

摘要：我們采用了一個新穎的自然實驗來展示媒體關注度與消費者投資行為之間的因果關系，從而不依賴媒體所傳達的信息。我們的研究表明相比那些沒有進入華爾街日報基金業績排名（WSJ Category Kings）的基金，排名突出的基金平均每季度本地資金流增長31%。增長的這部分資金流是“額外資金流”的7倍，這裡的“額外資金流”指根據已被證明的基金業績和資金量關系計算得出的資金流。基金家族裡的其他基金也會收到大量額外的資金流，特别是更小的基金家族。當發布的排名與之前的相似時，資金流不會出現增加。我們的研究結果與理論預測一樣，基金經理有動機策略性地創造媒體效應；我們也證明了傳播機制的确存在，包括在榮登排行榜之後增加該基金家族的廣告和增加随後媒體報道的效果。

關鍵字：基金，投資者關注度，動機，資金流，不連續回歸

WSJ Category Kings –The impact of media attention on consumer and mutual fund investment decisions

Ron Kaniel (University of Rochester), Robert Parham (University of Rochester)

ABSTRACT

We exploit a novel natural experiment to establish a causal relation between media attention and consumer investment behavior, independent of the conveyed information. Our findings indicate a 31% local average increase in quarterly capital flows into mutual funds mentioned in a prominent Wall Street Journal “Category Kings” ranking list, compared to those funds which just missed making the list. This flow increase is about seven times larger than extra flows due to the well-documented performance-flow relation. Other funds in the same fund complex receive substantial extra flows as well, especially in smaller complexes. There is no increase in flows when the Wall Street Journal publishes similar lists absent the prominence of the Category Kings labeling. We show mutual fund managers react to the incentive created by the media effect in a strategic way predicted by theory, and present evidence for the existence of propagation mechanisms including increased fund complex advertising subsequent to having a Category King and increased efficacy of subsequent fund media mentions.

Keywords: Mutual funds, Investor attention, Incentives, Flows, Regression discontinuity

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16302008

翻譯：吳雨玲