基金经理社会网络、业绩排名与净值暴跌风险

Fund Managers Social Network,Fund Ranking and Crash Risk

从社会网络视角解释机构投资者的行为特征是近年来学术界探讨的热点话题。基金经理在追赶业绩排名时的投资行为趋同可能会引发基金净值暴跌,分析其影响机理对防范金融资产价格暴跌风险和维护证券市场稳定具有重要作用。本文基于中国1312只开放式股票型基金2010—2017年的面板数据,从基金经理社会网络和业绩排名变化所引发的羊群效应视角,实证检验基金经理投资行为对基金净值暴跌风险的影响。研究结果发现,基金业绩排名对基金前十大重仓股比例的影响存在显著行情效应,业绩排名压力会迫使基金经理采取冒险行为,进而增大基金净值波动风险。此外,基金业绩排名越靠后,基金经理社会网络资源越丰富,基金净值暴跌风险就越大。文章的结论对完善资本市场信息披露制度、加强基金经理内幕信息交易的惩罚与监管制度建设具有重要的政策启示。

Explaining the behavioral characteristics of institutional investors from the perspective of social networks has been a hot topic in the academia in recent years.The convergence of investment behaviors caused by fund managers in catching up with the performance rankings may lead to a sharp drop in the fund s net value.Analysis of its influence mechanism plays an important role in preventing the risk of financial asset price collapses and maintaining the stability of the securities market.Based on the panel data of 1312 open-end equity funds in China from 2010 to 2017,the impact of fund managers investment behavior on the risk of fund net value collapse was empirically tested from the perspective of herd behavior triggered by fund managers social networks and performance rankings.The results showed that performance rankings had a significant impact on the proportion of the fund s top 10 largest stocks,and the pressure of performance rankings would force fund managers to take risks,thus increasing the risk of fund net value fluctuations.In addition,the lower the fund s performance ranking,the richer the fund manager s social network resources,the greater the risk of the fund s net value plummeting.The conclusion of this paper has important policy implications for improving the information disclosure system of capital market,strengthening the punishment of insider information trading and the construction of supervision system.