基金经理与公司高管校友关系加剧了股价波动吗

Can Alumni Relations between Fund Managers and Companies’Management Exacerbate the Stock Price Volatility?

基金经理与上市公司高管基于校友关系网络而进行的私有信息交易,可能会损害资本市场信息公平,加剧股价波动。文章以2003-2016年中国开放式基金投资组合的季度数据为样本,研究发现,基金经理与上市公司高管之间基于校友关系进行的私有信息交易,会增加投资者之间的信息不平等,进而加剧个股股价波动。一方面,校友关系会导致基金经理投资行为的短期化,表现为基金经理关联持仓时间更短,换手率更高,同时还会挤出其他无关系的专业投资者,导致个股股价波动加剧;另一方面,基于校友关系的私有信息交易主要体现在好消息上,当出现好消息时,校友关系会给关联持仓股票带来更剧烈的价格波动。文章结论有助于解释机构投资者在市场稳定方面有争议性的表现。

The private information trading between fund managers and listed companies’executives based on alumni relations may avoid fair disclosure principal and aggravate stock price volatility.In the capital market,alumni relations have been reduced to a profit-making tool for some fund managers.Therefore,it is of great practical significance to systematically analyze and discuss how alumni relations affect information disclosure and stock price fluctuations of listed companies.This paper systematically examines the adverse impact of the alumni relations between fund managers and listed companies’executives on information disclosure and stock price stability in the capital market.Taking the quarterly data of China Open-end Fund Portfolio from 2003 to2016 as the research sample,this paper finds that private information trading between fund managers and listed companies’executives based on alumni relations would increase the information gap between different investors and exacerbate stock price volatility.Further analysis finds that the existence of alumni relations would lead to short-termism of fund managers.For example,the holding period would be much shorter,the turnover rate would be much higher and professional investors without alumni relations would be crowded out.These results show that the alumni relations between fund managers and listed companies’executives would adversely affect the stability of the capital market.This paper also finds that private information trading between fund managers and listed companies’executives based on alumni relations is mainly reflected in the trading of good news.Taking listed companies’earnings announcement as a shock,we find that fund managers would significantly change their shareholding position before listed companies’announcement of financial reports.If the profit of this year is bigger than the previous year(good news),then fund managers would increase their holding of the stock.Further analysis indicates that the significant impact of alumni relations on private information trading and stock price fluctuations is only established in the sub-sample of good news.The above results show that the private information trading between fund managers and listed companies’executives based on alumni relations is mainly reflected in the trading of good news,which also leads to particularly violent price fluctuations in these stocks.This paper indicates that if we cannot eliminate the influence of private information trading between fund managers and listed companies’executives based on alumni relations,we cannot guarantee the effective implementation of fair information disclosure.These findings may provide some enlightening significance for the supervision work of the CSRC and related government agencies.