Inferring latent social networks from stock holdings

• 成果类型: Article
• 署名作者: Hong, Harrison; Xu, Jiangmin
• 署名单位: Columbia University; Peking University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.08.005
• 发表日期: 2019
• 页码: 323-344
• 关键词: Social networks; Poisson regressions; INVESTOR BEHAVIOR

摘要

We infer the latent social networks of investors using data on their stock holdings. We map linkages to portfolio weights using a portfolio-choice model. The precision of an investor's private signal about firm value is assumed to increase with his connections in the city where the firm is headquartered. Using money-manager data, we find that managerial linkages to a city are overly dispersed relative to the Erclos-Renyi model of i.i.d. connections. Managers at the tail of this distribution with non-i.i.d. linkages have more university alumni in that city. Their stock holdings there outperform their holdings in other cities. (C) 2018 Published by Elsevier B.V.