基金经理社会关系网络的溢价效应——来自中国股票型基金的经验证据
The Premium Effect of Fund Managers’ Social Networks—Empirical Evidence from Equity Funds in China

本文研究基金经理社会关系网络对基金绩效的溢价效应及影响机制，结合校友关系和同事关系两个维度构建基金经理的综合社会网络属性指标。研究发现：基金经理社会关系网络对基金绩效有溢价效应，且主要体现在直接和亲密的社会关系上。社会关系网络能够帮助基金经理获得更多公司特质信息，提高证券选择能力，但是未能显著提高市场时机把握能力。基金经理的社会关系网络便利了私有信息传递，提高了基金所含私有信息含量，成为帮助基金获得超额收益的重要影响因素。基金经理的社会关系网络形成了信息沟通渠道，直接渠道传递的信息更具有决策价值，同时本文结论也反应出内幕交易相关监管制度在认定范围、判断标准等方面的一些不足。
We study the premium effect of fund managers’ social networks on fund performance and the in-fluencing mechanisms. We construct a comprehensive social network index of fund managers by combining the two dimensions of alumni relationships and colleague relationships. The empirical results show that social networks of fund managers have a premium effect on fund performance, which is mainly concentrated in direct and intimate social relationships. Social networks can provide fund managers with more firm-specific information and improve the ability of securities selec-tion, but can not significantly improve the ability of market timing. Social networks of fund managers facilitate the transfer of private information and increase private information contained in the funds, which becomes an important influencing factor that generates excess returns for funds. Social networks of fund managers form information communication channels, and the information transmitted through direct channels is more valuable for decision-making. The conclusions of this paper also reflect deficiencies in the regulatory system related to insider trading, such as identification scope and judgment standards.