Social Interaction and Investor Behavior in Stock Markets

这个项目调查投资者在股票市场上的行为是否受到社会互动的影响。社交互动可能影响投资者的一个渠道是，他们通过口口相传的方式直接相互传播有关股票的信息和想法。然而，尽管人们熟悉这些关于社会互动的假设，但它们在股市数据中几乎没有得到直接支持。为了将大样本证据用于这些问题，该项目对股市中的社会互动和投资者行为进行了两项研究。第一个研究考察了家庭参与股市受社会互动影响的观点。建立了一个简单的模型，在这个模型中，任何给定的“社会”投资者都会发现，当他的同行的参与率较高时，投资于市场更具吸引力。该模型预测，社会投资者的参与率高于“非社会投资者”。这一理论使用了健康与退休研究的数据进行了验证。社交家庭被定义为与邻居互动的人，或者去教堂做礼拜的人。调查人员测试，在控制财富、种族、教育和风险承受能力等其他因素的情况下，社会投资者是否真的比非社会家庭更有可能投资股市。研究人员还测试了他们模型的一个辅助预测，即在股市参与率较高的州，社交的影响更强。第二项研究调查了口碑对基金经理的持股和交易的影响。这个想法非常简单，前提是假设在同一个城市工作的基金经理更有可能相互直接接触，从而通过口碑交流想法。例如，考虑一位为位于波士顿的富达基金家族工作的基金经理，以及她在给定季度是否购买英特尔股票的决定。我们的基本预测是，这一决定将受到同样位于波士顿的普特南家族基金经理决策的影响，而不是其他城市基金经理的决策。通过使用共同基金持股的大型数据库，调查人员希望了解，如果位于同一城市的不同基金家族的其他经理持有(或买入或卖出)某只股票，共同基金经理是否更有可能在任何一个季度持有(或买入或卖出)某只股票。在这些回归中，我们能够控制基金经理和相关股票之间的距离，以及投资风格的异质性。最后，在投资者通过口口相传直接相互传播有关股票的信息和想法的模型中，有关股票的想法需要时间才能远距离传播，就像传染病一样。调查人员可以通过检查一家基金管理公司的交易对其他基金管理公司的交易是否有更大的滞后性来测试这种交易动态，因为这些基金管理公司的交易位于更远的城市。

This project investigates whether investor behavior in stock markets is influenced by social interaction. One channel through which social interaction might influence investors is that they spread information and ideas about stocks to one another directly, through word-of-mouth communication. However, in spite of their familiarity, such hypotheses about social interaction have received little direct support in stock-market data. In an effort to bring large-sample evidence to bear on these questions, this project conducts two studies of social interaction and investor behavior in stock markets. The first study investigates the idea that stock-market participation by households is influenced by social interaction. A simple model is built in which any given "social" investor finds it more attractive to invest in the market when the participation rate among his peers is higher. The model predicts higher participation rates among social investors than among "non-socials". The theory is tested using data from the Health and Retirement Study. Social households are defined as those who interact with their neighbors, or who attend church. The investigators test whether the social investors are indeed substantially more likely to invest in the stock market than non-social households, controlling for other factors like wealth, race, education and risk tolerance. The investigators also test an auxiliary prediction of their model that the impact of sociability is stronger in states where stock-market participation rates are higher. A second study investigates word-of-mouth effects on the holdings and trades of money managers. The idea is a very simple one, premised on the assumption that fund managers who work in the same city are more likely to come into direct contact with one another, and hence to exchange ideas by word-of-mouth. Consider for example a fund manager working for the Fidelity fund family, which is located in Boston, and her decision of whether or not to buy, say, shares of Intel in a given quarter. Our basic prediction is that this decision will be more heavily influenced by the decisions of fund managers working for the Putnam family, which is also located in Boston, than by the decisions of fund managers located in other cities. Using a large database of mutual fund holdings, the investigators look to see whether a mutual-fund manager is more likely to hold (or buy, or sell) a particular stock in any quarter if other managers from different fund families located in the same city are holding (or buying, or selling) that same stock. In these regressions, we are able to control for the distance between the fund manager and the stock in question and for heterogeneity in investment styles. Finally, in a model in which investors spread information and ideas about stocks directly to one another by word of mouth, it takes time for ideas about stocks to travel over large distances, much as with a contagious disease. The investigators can test for such trading dynamics by checking whether a given fund manager's trades responds to the trades of other fund managers with more of a lag when these other managers are located in more distant cities.