The Effect Of Social Relationship Network On The Active Management Of Fund Managers

With the increasing maturity of Chinese financial market,securities investment funds account for half of Chinese financial market.As a major human capital in charge of fund operation,fund managers have an important impact on the operation and development of the securities market.Fund manager is the soul of a fund.The related researches focus on fund performance,portfolio risk,personal characteristics and so on to measure the ability of fund managers.And this paper focuses on the active management of fund managers,and the active management is divided into active stocking-picking and active trading.Also,this paper explores the impact of the relationship network on the active management of fund managers while previous research mainly focused on how to build indicators to measure active management and the impact of active management on fund performance.The fund manager's relationship network is essentially a social relationship network.The nodes of the network are fund managers,and the edges of network are various relationships of fund managers such as classmate relationship,family relationship,business relationship and so on.A large amount of studies have shown that the relationship network between fund managers will have a certain premium effect on fund performance.This kind of relationship network will also have a significant impact on the personal characteristics of the fund manager.Because the degree of interaction between the fund managers is different,and the importance of fund managers in the social relationship network is also different,which leads to that the quality and quantity of information obtained by fund managers getting from the network is different,thus affecting the investment decisions of fund managers and creating behavioral biases.The active management discussed in this paper is also one of the personal characteristics of fund managers.This paper exactly studies the correlation between network and fund managers' active management.And we believe that the work relationship network is actually an extension of the alumni relationship network,is a process from the ivory tower to the society and it is also the accumulation of the life experience of a fund manager.There is a strong correlation,continuity and interactivity between this two relationships.In order to consider the interaction of multiple relationships,we combine the working relationship network with the alumni relationship network to obtain a composite relationship network,which is defined as the social relationship network in this paper.Next,we establish relationship network between fund managers by considering the fund manager is the node,the relationship of colleagues and alumni is the edge of network,and then we get three kinds of network including work relationship network,alumni relationship network and social relationship network which contains the two networks mentioned before.In the past financial research,social network analysis was mainly used to study the important nodes in the network,which is easy to understand,simple to calculate and describe the importance of the node better,but ignores the quality of the node.So,in our paper,we choose PageRank,the page rank algorithm of Google search engine,is used to calculate the PageRank value(PR value)of each node in the network as a measure of the importance level of the fund manager in the relationship network.This algorithm not only considers the number of neighbors of a node,but also considers the impact of the quality of neighbor nodes on its importance.In short,the higher the PR value,the more important the node.And PR value can reflect the social attributes of fund managers.First of all,we select the open-ended stock funds existing in the fund market from 2005 to 2018 as the research objects,and explore the premium effect of the fund manager's social relationship network on fund's monthly return rate and excess rate of return which adjusted by the Carhart four-factor model.It is found that the social relationship network of fund manager will have a significant positive premium on fund performance.After that,we choose grouping contingency table to analyze the active stock-picking of fund manager.It is found that in the alumni relationship network,the higher network node PR value,the less active stockpicking.Then,by using the fixed-effects model to regress the panel data,we found that the node PR value of fund manager's work relationship network and social relationship network shows a negative and significant correlation with the active stock-picking,too.From this point of view,we conclude that the social attributes of fund managers could not have a positive impact on active stock-picking,that is,the more important fund manager in the network,the lese active stock-picking.Maybe there are some reasons,firstly,the fund manager with strong social attributes is highly important in the relationship network.As an information receiver,he can obtain higher quality and higher density information to conduct a prudent analysis and make rational investment decisions,so active stock-picking indicator is low;second,the active stock-picking indicator may be distorted,because the fund manager may obtain a large amount of private information through network,and make frequent invisible transactions between two reporting periods to obtain excess returns,and then return to the original position when the reporting period is approaching in order to cover up its invisible trading behavior,so the indicator calculated from the quarterly data cannot reliably portray the active stock-picking of fund manager.Finally,this paper explores the impact of fund managers' social attributes on their active trading.The experimental results show that there is no significant relationship between them.However,from the analysis of the Turnover(the measure of active trading),it is found that Turnover can be used as a predictive signal for the financial crisis.The main innovations of this paper are as follows: First,the PR value obtained by the PageRank algorithm is used as a measure of the importance of the fund manager in the relational network,rather than the various centrality indicators in the traditional social network analysis method.This is the innovation that integrating cutting-edge computer technology into the social science field.Second,combining work relationship network and alumni relationship network to form the fund manager's social relationship network to examine the impact of this composite network on the active management of fund managers;Thirdly,the research on the active management of fund managers is based on the relationship network of fund managers,and the correlation between them.