机构投资者博彩行为的传染——基金竞争网络与彩票型股票资产配置

The Network Contagion of Institutional Investors'Gambling Behavior——Fund Competition Network and Lottery Stock Asset Allocation

本文以我国2005—2021年开放式股票型与混合型基金重仓持股数据为研究样本,通过三维空间模型构建基金竞争网络,实证检验了基金竞争网络对基金经理彩票型股票资产配置的影响。研究发现,同业基金在彩票型股票资产配置上呈现出显著的一致性,意味着基金经理倾向于学习与模仿同业基金的彩票型股票资产配置策略。上述结论在考虑了外围基金的持仓变动、市场信息等因素的影响后依旧成立。潜在机制表明,在竞争激烈的环境中,基金经理面临更大的解雇风险,促使其博彩偏好上升,从而趋向于学习与模仿同业基金的彩票型资产配置策略。异质性分析表明,同业基金对彩票型资产配置策略的模仿行为存在“家族效应”与“同城效应”。该模仿行为与基金经理的性别、学历等个人特征相关,且在调仓情景下更显著。拓展性分析发现,同业竞争引致的彩票型资产配置可能进一步引发股价崩盘风险。本文为监管层理解机构投资者的博彩行为、制定合理的市场竞争机制提供了有益参考。

Based on the data of major holdings of China's open-end stock funds and hybrid funds from 2005 to 2021,this paper constructs a fund competition network through a three-dimensional model.It empirically tests the influence of fund competition networks on fund managers'allocation of lottery stock assets.We find that the inter-peer funds show significant consistency in the allocation of lottery stock assets,which means that fund managers tend to learn and imitate the allocation strategies of lottery stock assets of inter-peer funds.The above conclusion still holds after considering the infuence of external fund position changes,market information,and other factors.The underlying mechanism shows that in the fierce competition environment,fund managers face more significant dismissal risk,making fund managers'gambling preferences rise and thus tend to imitate interpeer funds'lottery asset allocation strategy.Heterogeneity analysis shows that there are"family effects"and"city effects"in the imitation behavior of inter-peer funds on lottery asset allocation strategy.This imitation behavior is related to the personal characteristics of fund managers,such as gender,education,and so on,and it is more significant in position adjustment scenarios.Expansive analysis shows that the allocation of lottery assets brought by peer competition will further trigger stock price crash risk.This paper provides a valuable reference for regulators to understand institutional investors'gambling behavior and formulate a reasonable market competition mechanism.