Fluctuations of social influence: evidence from the behaviour of mutual fund managers during the economic crisis 2008/09

  • In this paper, I analyse the reciprocal social influence on investment decisions within an international group of roughly 2,000 mutual fund managers who invested in companies in the DAX30. Using a robust estimation procedure, I provide empirical evidence that the average fund manager puts 0.69% more portfolio weight on a particular stock, if his peers on average assign a weight to the corresponding position which is 1% higher compared to other stocks in the portfolio. The dynamics of this influence on the choice of portfolio weights suggest that fund managers adjust their behaviour according to the prevailing market situation and are more strongly influenced by others in times of an economic downturn. Analysing the working locations of the fund managers, I conclude that more than 90% of the magnitude of influence stems from the social learning. While this form of influence varies much over time, the magnitude of influence resulting from the exchange of opinion is more or less constant.

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Metadaten
Author:Frederik KönigGND
URN:urn:nbn:de:hebis:30:3-300753
Parent Title (German):Soziale Interaktion auf Finanzmärkten
Publisher:Univ.-Bibliothek
Place of publication:Frankfurt am Main
Document Type:Part of a Book
Language:English
Year of Completion:2013
Year of first Publication:2013
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2013/06/06
Tag:Herding; Mutual Fund Managers; Social Interaction; Word-of-Mouth
Page Number:44
First Page:109
Last Page:152
Note:
Bestandteil der kumulativen Dissertation "Soziale Interaktion auf Finanzmärkten" Johann Wolfgang Goethe-Univ. Frankfurt am Main, 2013. Aktualisierte Fassung der Version http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1988832
HeBIS-PPN:347493947
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 30 Sozialwissenschaften, Soziologie / 300 Sozialwissenschaften
3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:A General Economics and Teaching / A1 General Economics / A14 Sociology of Economics
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht