Social Interaction and Investor Behavior in Stock Markets

本研究旨在探讨投资者在股票市场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，他们通过口头交流，直接向彼此传播有关股票的信息和想法。然而，尽管大家都很熟悉这些关于社会互动的假设，但它们几乎没有得到股市数据的直接支持。为了给这些问题带来大样本证据，本项目进行了两项关于股票市场中的社会互动和投资者行为的研究。第一项研究调查了家庭参与股市受社会互动影响的观点。我们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，当同行的参与率较高时，投资市场更具吸引力。该模型预测，社会投资者的参与率高于“非社会”投资者。该理论是用健康与退休研究的数据来检验的。社会家庭被定义为与邻居互动或参加教堂的家庭。调查人员测试了社会投资者是否确实比非社会家庭更有可能投资股市，控制了其他因素，如财富、种族、教育和风险承受能力。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，社交能力的影响更大。第二项研究调查了口碑对基金经理持有和交易的影响。这个想法非常简单，其前提是在同一个城市工作的基金经理更有可能彼此直接接触，从而通过口口相传来交换意见。例如，考虑一位在波士顿富达基金家族（Fidelity fund family）工作的基金经理，她要决定是否在某个季度购买英特尔（Intel）的股票。我们的基本预测是，与其他城市的基金经理的决策相比，为同样位于波士顿的普特南家族工作的基金经理的决策对这一决策的影响更大。调查人员利用一个庞大的共同基金持股数据库，观察如果同一城市不同基金家族的其他基金经理持有（或买进或卖出）某只股票，该共同基金经理是否更有可能在任何一个季度持有（或买进或卖出）该股票。在这些回归中，我们能够控制基金经理与所讨论的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的方式直接相互传播有关股票的信息和想法的模式中，有关股票的信息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某个基金经理的交易是否对其他基金经理的交易反应滞后，从而检验这种交易动态。当其他基金经理位于较远的城市时，这些基金经理的交易反应是否滞后。

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.