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

社交互动与共同基金投资组合

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

摘要：本文发现社交有联系的共同基金经理会持有更多相似的股票并进行更多相似的交易。与居住在一个城市但不是一个社区的基金经理相比，居住在相同社区的基金经理持有相同股票的比例更高；并且当基金经理是同一种族时，这样的现象就更加明显，且不能被他们的偏好所解释，因此可以推断在他们的社交网络中传递着有价值的信息。基于此本文构建了买入相同社区基金经理共同买入的股票、卖出其共同卖出的股票的投资组合，并得到了显著为正的风险调整后收益。与之前类似实证研究不同是，本文的结论排除了同社区基金经理受到相同信息暴露的影响，确保了他们的行为是基于社交网络交流的结果。

关键词：社交网络，共同基金，组合

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

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12208/full

翻译：殷曼琳