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Determinants of money flows into investment trusts in Japan
journal contribution
posted on 2015-04-10, 08:03 authored by Yoshikatsu Shinozawa, Andrew VivianAndrew VivianThis study investigates determinants of net money (fund) flows of Japanese investment trusts. This paper employs a pooled regression technique that can distinguish between the impact on fund flow of raw performance and market-adjusted performance. This paper also investigates the impact of fund affiliation with large financial groups on the flow-performance sensitivity as the Japanese fund industry is often portrayed as being “fee-hungry” where large groups play an influential role.
The primary determinant of future net fund flows is the fund's current raw return, which by itself can explain about half the variation in net fund flow. Hence, our model's estimates of future fund flows would be of practical use to investment managers when planning asset purchases and managing cash reserves. Interestingly, we find that if a fund is part of a large financial group then its fund flow is more sensitive to its performance.
History
School
- Business and Economics
Department
- Business
Published in
Journal of International Financial Markets, Institutions and MoneyVolume
InIssue
PressPages
i - lxxCitation
SHINOZAWA, Y. and VIVIAN, A., 2015. Determinants of money flows into investment trusts in Japan. Journal of International Financial Markets, Institutions and Money, 37, pp.138-161.Publisher
© Elsevier B.V.Version
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2015Notes
Closed access until 14 March 2016ISSN
1042-4431Publisher version
Language
- en