Bubble-crash experience and investment styles of mutual fund managers
Bubble-crash experience and investment styles of mutual fund managers
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DOI：
10.1016/j.jcorpfin.2022.102262
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发表时间：
2022-08
影响因子：
6.1
通讯作者：
D. Luo;Zhongwei Yao;Yanjian Zhu
中科院分区：
文献类型：
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作者：
D. Luo;Zhongwei Yao;Yanjian Zhu
本研究考察了基金经理的泡沫破灭经历对其投资风格的影响。利用2007-2008年和2014-2015年中国a股市场泡沫破裂事件，我们发现经历过股市崩盘的基金经理在投资组合中更倾向于价值导向。虽然第一手的泡沫破灭经验对投资风格的影响是显著的，但我们发现很少有证据表明从机构记忆或管理团队中获得的二手经验的影响。我们使用不完全信息学习理论、显著性理论和风险偏好的变化来解释这些发现。此外，在2015年6月新一轮泡沫破裂前后，不同类型经理的不同投资风格影响了基金的表现。与那些在泡沫破裂之前（之后）没有这种经历的基金经理相比，拥有2007-2008年泡沫破裂经验和更注重价值导向的投资风格的基金经理的基金回报率更低（更高）。
This study examines the effect of fund managers' bubble-crash experience on their investment styles. Using the 2007–2008 and 2014–2015 bubble-crash events of China's A-share market, we find that managers who experienced a stock market crash are more value-oriented in their portfolios. While the effect of firsthand bubble-crash experience on investment style is significant, we find little evidence of the impact of secondhand experience gained from institutional memory or the management team. We explain these findings using incomplete information learning theory, salience theory, and the change in risk preferences. Moreover, different investment styles across manager types affect fund performance around the time the new bubble burst in June 2015. Managers with 2007–2008 bubble-crash experience and a more value-oriented investment style have lower (higher) fund returns than those without such experience before (after) the bubble burst.