Inexperienced investors and bubbles

• 成果类型: Article
• 署名作者: Greenwood, Robin; Nagel, Stefan
• 署名单位: Stanford University; Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.08.004
• 发表日期: 2009
• 页码: 239-258
• 关键词: ASSET PRICE BUBBLES; Investment experience; Investor age; Trend chasing

摘要

We use mutual fund manager data from the technology bubble to examine the hypothesis that inexperienced investors play a role in the formation of asset price bubbles. Using age as a proxy for managers' investment experience, we find that around the peak of the technology bubble, mutual funds run by younger managers are more heavily invested in technology stocks, relative to their style benchmarks, than their older colleagues. Furthermore, young managers, but not old managers, exhibit trend-chasing behavior in their technology stock investments. As a result, young managers increase their technology holdings during the run-up, and decrease them during the downturn. Both results are in line with the behavior of inexperienced investors in experimental asset markets. The economic significance of young managers' actions is amplified by large inflows into their funds prior to. the peak in technology stock prices. (C) 2009 Elsevier B.V. All rights reserved.