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

• 成果类型: Article
• 署名作者: Pool, Veronika K.; Stoffman, Noah; Yonker, Scott E.
• 署名单位: Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12208
• 发表日期: 2015
• 页码: 2679-2732
• 关键词: genetic-variation; INFORMATION; identification; preferences; INVESTMENT; diffusion; purchases; RISK; Herd; HOME

摘要

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.