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【JF】社交互動與共同基金投資組合

[發布日期]:2016-07-04  [浏覽次數]:

THE JOURNAL OF FINANCE ·VOL. LXX, NO. 6 ·DECEMBER 2015

社交互動與共同基金投資組合

作者:Veronika K. Pool, Noah Stoffman, and Scott E. Yonker

摘要:本文發現社交有聯系的共同基金經理會持有更多相似的股票并進行更多相似的交易。與居住在一個城市但不是一個社區的基金經理相比,居住在相同社區的基金經理持有相同股票的比例更高;并且當基金經理是同一種族時,這樣的現象就更加明顯,且不能被他們的偏好所解釋,因此可以推斷在他們的社交網絡中傳遞着有價值的信息。基于此本文構建了買入相同社區基金經理共同買入的股票、賣出其共同賣出的股票的投資組合,并得到了顯著為正的風險調整後收益。與之前類似實證研究不同是,本文的結論排除了同社區基金經理受到相同信息暴露的影響,确保了他們的行為是基于社交網絡交流的結果。

關鍵詞:社交網絡,共同基金,組合

The People in Your Neighborhood: Social Interactions and Mutual Fund Portfolios

Veronika K. Pool, Noah Stoffman, and Scott E. Yonker

ABSTRACT

We find that socially connected fund managers have more similar holdings and trades. The overlap of funds whose managers reside in the same neighborhood is considerably higher than that of funds whose managers live in the same city but in different neighborhoods. These effects are larger when managers share a similar ethnic background, and are not explained by preferences. Valuable information is transmitted through these peer networks: a long-short strategy composed of stocks purchased minus sold by neighboring managers delivers positive risk-adjusted returns. Unlike prior empirical work, our tests disentangle the effects of social interactions from community effects.

Keywords: Social Interaction, Mutual Fund, Portfolios

原文鍊接:http://onlinelibrary.wiley.com/doi/10.1111/jofi.12208/full

翻譯:殷曼琳



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