摘要
本文基于2004-2019年中国公募基金经理校友、同事、姓氏社会关系和所管理基金十大重仓股持仓数据,利用社会网络分析法按季度构建基金经理的社会关系网络和持股网络,考察基金经理社会关系对投资行为的影响。本文发现,基金经理社会关系网络影响了持股网络的形成,且这一影响会因基金公司办公地、基金经理性别而存在异质性;机制检验表明,在社会关系网络中有影响力的基金经理更偏好持仓流通市值大、股价波动率低的股票,其他基金经理的跟进模仿在这类股票上更易实现,从而使其管理基金和其他基金在持股网络中呈现出高持股关联性。本文的研究既补充了基金经理投资行为的影响因素研究,也补充了基金经理社会关系的经济后果研究,同时启示监管机构应借助基金经理个人背景信息提升监管效率。
Based on the social relationship of the alumni, colleagues, and surnames of Chinese public fund managers, and the ten largest holdings of the funds under management from 2004 to 2019, this paper uses social network analysis to design the social network and shareholding network of fund managers quarterly to investigate the influence of fund managers’ social relationship on their investment behavior. This paper finds that the social network of fund managers has an influence on the formation of the shareholding network, and this influence can be heterogeneous due to the fund company’s office location and the gender of the fund manager. Mechanism tests show that fund managers who are influential in the social network tend to hold stocks of large circulating market capitalization and low stock price volatility. Holding such stocks makes it more easily for other fund managers to follow and imitate, and can lead to higher shareholding relevance in the shareholding network. This paper enriches the research literature on both the influence factor of fund manager investment behavior and the economic consequences of managers’ social relationship. At the same time, our research also reminds the regulator to pay attention to the personal background information of fund managers to improve the efficiency of supervision.
作者
罗毅
林树
LUO Yi;LIN Shu(School of Accounting,Guizhou University of Finance and Economics,Guiyang 550025,China;Business School,Nanjing University,Nanjing 210093,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2022年第4期79-95,共17页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家自然科学基金项目(71872081)
贵州财经大学引进人才科研启动项目(2021YJ038)。
