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Determinants of money flows into investment trusts in Japan
journal contributionposted on 2015-04-10, 08:03 authored by Yoshikatsu Shinozawa, Andrew VivianAndrew Vivian
This 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.
- Business and Economics
Published inJournal of International Financial Markets, Institutions and Money
Pagesi - lxx
CitationSHINOZAWA, 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.
- AM (Accepted Manuscript)
Publisher statementThis 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/
NotesClosed access until 14 March 2016