基金经理羊群行为是否明智:盲目跟风VS理性选择

Whether the Herding Behavior of fund Manager is Wise: Blind Follow-up or Rational Choice?

为了回答基金经理的羊群行为是否"明智",本文选择了一个新的视角--研究基金经理的羊群行为如何影响投资组合的特质风险。采用Sias(2004)[27]的序贯交易模型度量羊群行为,选取2007~2016年中国的股票型开放式基金和偏股型开放式基金为样本,研究发现:(1)基金经理的羊群行为降低了投资组合的特质风险,这证明了基金经理的羊群行为是明智的;(2)投资组合的私有信息含量越低、公司透明度越低、社会关注度越低,基金经理的羊群行为与特质风险的负向关系越强,这说明了信息不对称程度越高,基金经理的羊群行为越有必要;(3)相对于女性,男性基金经理的羊群行为与特质风险的负向关系更强,这表明了男性基金经理更加应该采取羊群行为,而不是"固执己见"。本文揭示了信息不对称会引起金融市场上的"个体最优决策"与"社会最大福利"之间的问题,建议相关部门制定措施,以引导金融市场的资源配置从"局部最优"走向"全局最优"。

In order to answer whether the herding behavior of fund manager is "wise", this paper chooses a new perspective, which is to study how the herding behavior of fund manager affects the idiosyncratic risk of portfolio. The Sias(2004) sequential trading model is used to measure herding behavior, taking the Chinese stock open-end funds and partial open-end funds from 2007 to 2016 as samples, the study found that:(1) The herding behavior of fund manager reduces the idiosyncratic risk of portfolio, which proves that the fund manager’s herding behavior is sensible;(2) The lower the private information content of the portfolio, the lower the transparency of the company and the lower the social attention, the stronger the negative relationship between the herding behavior of fund manager and the idiosyncratic risk is.This shows that the higher the information asymmetry is, the more necessary the herding behavior of fund manager is;(3) Compared with the female, the male fund manager’s herding behavior and the idiosyncratic risk’s negative relationship is stronger. This suggests that male fund manager should take herding rather than "opinionated". This paper reveals that information asymmetry will lead to the contradiction between "individual optimal decision" and "social maximum welfare" in financial markets. The government should take relevant measures to guide the allocation of resources in financial markets from "local optimal" to "global optimal".