Peer Effects in Mutual Funds Managers in Mood Open Access

Abstract

Peer effect and social connections have been studied extensively in sociology, pedagogy and economics discipline. In recent decades, peer effect has been investigated in the financial market, often linking the peer effect with the performance of individual or institutional investors. In this paper, I explore the peer effect between the mutual fund manager’ssentiment. To my knowledge, there is no current literature linking peer effect with optimistic or pessimistic mood of the mutual fund managers. By employing a game theoretic in the large network model, this paper examines and estimates the peer effect of mutual fund managers in mood from 2003 to 2006, a total of 16 quarters. This paper finds that the peer effect is significant between the mutual fund manager’s sentiment, but such an effect is not consistent in the given time span. The direction of the peer effect could be on both sides, but when the peer effect is positive, the magnitude of such effect is larger than that of negative peer effect.

Table of Contents

Chapter 1: Introduction.............................................................................................................1

Chapter 2: Relation to the Existing Literature and Contribution..............................................5

Chapter 3: Data description...................................................................................................... 8

Chapter 4: Methodology...........................................................................................................11

Chapter 5: Estimation...............................................................................................................14

Chapter 6: Results.....................................................................................................................15

Chapter 7: Conclusion...............................................................................................................17

Bibliography...............................................................................................................................19

About this Honors Thesis

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School	Emory College
Department	Quantitative Science
Degree	B.S.
Submission	Honors Thesis
Language	English
Research Field	Statistics Economics, Theory Economics, Finance
Keyword	Large network Peer Effect Mutual Fund Mutual Fund Manager Sentiment Nested pseudo-likelihood estimation
Committee Chair / Thesis Advisor	Zhongjian Lin, Emory University
Committee Members	Jeremy Jacobson , Emory University Jeong-Ho (John) Kim, Emory University

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