Journal of Financial Economics, In Press, Corrected Proof, Available online 14 November 2016

华尔街日报基金业绩排名——媒体关注度对消费者和基金投资者决策的影响

作者：Ron Kaniel (University of Rochester), Robert Parham (University of Rochester)

摘要：我们采用了一个新颖的自然实验来展示媒体关注度与消费者投资行为之间的因果关系，从而不依赖媒体所传达的信息。我们的研究表明相比那些没有进入华尔街日报基金业绩排名（WSJ Category Kings）的基金，排名突出的基金平均每季度本地资金流增长31%。增长的这部分资金流是“额外资金流”的7倍，这里的“额外资金流”指根据已被证明的基金业绩和资金量关系计算得出的资金流。基金家族里的其他基金也会收到大量额外的资金流，特别是更小的基金家族。当发布的排名与之前的相似时，资金流不会出现增加。我们的研究结果与理论预测一样，基金经理有动机策略性地创造媒体效应；我们也证明了传播机制的确存在，包括在荣登排行榜之后增加该基金家族的广告和增加随后媒体报道的效果。

关键字：基金，投资者关注度，动机，资金流，不连续回归

WSJ Category Kings –The impact of media attention on consumer and mutual fund investment decisions

Ron Kaniel (University of Rochester), Robert Parham (University of Rochester)

ABSTRACT

We exploit a novel natural experiment to establish a causal relation between media attention and consumer investment behavior, independent of the conveyed information. Our findings indicate a 31% local average increase in quarterly capital flows into mutual funds mentioned in a prominent Wall Street Journal “Category Kings” ranking list, compared to those funds which just missed making the list. This flow increase is about seven times larger than extra flows due to the well-documented performance-flow relation. Other funds in the same fund complex receive substantial extra flows as well, especially in smaller complexes. There is no increase in flows when the Wall Street Journal publishes similar lists absent the prominence of the Category Kings labeling. We show mutual fund managers react to the incentive created by the media effect in a strategic way predicted by theory, and present evidence for the existence of propagation mechanisms including increased fund complex advertising subsequent to having a Category King and increased efficacy of subsequent fund media mentions.

Keywords: Mutual funds, Investor attention, Incentives, Flows, Regression discontinuity

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X16302008

翻译：吴雨玲