Social Interaction and Investor Behavior in Stock Markets

本研究旨在探讨社会互动是否会影响投资者在股票市场的行为。社会互动可能影响投资者的一个渠道是，他们通过口头交流直接向彼此传播有关股票的信息和想法。然而，尽管这些关于社会互动的假设很熟悉，但在股市数据中却几乎没有得到直接的支持。为了给这些问题带来大样本的证据，本项目对股票市场中的社会互动和投资者行为进行了两项研究。第一项研究探讨了家庭参与股票市场受社会互动影响的观点。 一个简单的模型是建立在任何给定的“社会”投资者发现它更有吸引力的投资在市场上的参与率在他的同龄人更高。该模型预测，社会投资者的参与率高于“非社会投资者”。这一理论是用健康和退休研究的数据进行测试的。 社交家庭被定义为那些与邻居互动或参加教会的人。 研究人员测试了社会投资者是否真的比非社会家庭更有可能投资于股票市场，控制了财富，种族，教育和风险承受能力等其他因素。研究人员还测试了他们模型的一个辅助预测，即在股票市场参与率较高的州，社交能力的影响更强。第二项研究调查了口碑对基金经理持股和交易的影响。 这个想法非常简单，它基于这样一个假设：在同一个城市工作的基金经理更有可能彼此直接接触，从而通过口头交流想法。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，以及她在某个季度是否购买英特尔股票的决定。我们的基本预测是，这一决定将更严重地影响基金经理的决定，为普特南家族，这也是位于波士顿，比基金经理的决定设在其他城市。 调查人员利用一个大型的共同基金持股数据库，研究如果同一城市不同基金家族的其他基金经理持有（或购买或出售）同一只股票，共同基金经理是否更有可能在任何季度持有（或购买或出售）同一只股票。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，在一个投资者直接通过口头传播股票信息和想法的模型中，股票的想法需要很长时间才能传播到很远的地方，就像传染病一样。调查人员可以通过检查某个基金经理的交易是否对其他基金经理的交易做出反应来测试这种交易动态，如果其他基金经理位于更远的城市，那么这些基金经理的交易是否会滞后。

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.