基金经理性别、信息依赖与风险承担水平

Gender,Information Dependence and Risk-Taking Level of Fund Managers

基金经理的个体特征对其决策方式与投资风格具有重要影响。本文基于2005-2019年我国A股市场与公募证券投资基金数据,采用社会关系网络分析方法测度了基金经理决策的风险承担水平,检验其是否存在性别差异,并且从信息依赖的角度对性别差异产生的行为原因进行了分析。研究表明:(1)相比男性同行,女性基金经理的持股组合与市场组合的接近度更高,因此她们具有更低的风险承担水平;(2)女性基金经理在决策过程中对于私有信息的依赖程度更低,而对于公共信息的依赖程度更高,这可以作为其持仓组合具有较低风险承担水平的一个解释;(3)对于私有信息和公共信息依赖的性别差异受到决策情形(调仓、建仓和平仓)和市场行情(牛市和熊市)的影响。本文拓展了社会关系网络理论在金融市场行为分析中的应用,丰富了基金经理个体特征与决策方式关系的研究,为机构投资者行为分析提供了新的视角。

The individual characteristics of fund managers have important influence on their decision-making.Based on the data of China’s A-share market and mutual funds from 2005 to 2019,this paper measures the risk-taking level of fund managers,tests whether there are gender differences,and analyzes the behavioral causes of gender differences from the perspective of information reliance.The results show that:(1)Compared with their male peers,female managers’portfolios are closer to the market portfolio,so they have a lower level of risk-taking.(2)Female managers have lower reliance on private information and higher reliance on public information.This can be considered as an explanation for the low risk-taking level of their portfolios.(3)Gender differences in reliance on private and public information are affected by market conditions(bull and bear markets)and situations(position adjustment,building and closing).This article expands the application of social relationship network theory in financial market behavior analysis,enriches the research on the relationship between individual characteristics of fund managers and decisionmaking methods,and provides a new perspective for institutional investor behavior analysis.