Empirical Studies on Japanese Daily Mutual Fund Flows and Investor Sentiment

• Project/Area Number: 21530321
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Tokyo University of Science (2010-2011); Kwansei Gakuin University (2009)
• Principal Investigator: HIRAKI Takato 東京理科大学, 経営学部, 教授 (50208815)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000); Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
• Keywords: 投資家行動 / センチメントファクター / アセットプライシング / 投資スタイル / 資産評価モデル / 投資信託市場 / センチメント・ファクター / ファンドフロー / 投資信託 / アセット・プライシング

Research Abstract

Based on the analysis of daily mutual fund flows by style, we extract three differently but reasonably interpretable sentiment factors and are able to apply them to derive the single market-wide sentiment which effectively explains equity return cross-section. This result is robust to the use of differently data sets in monthly frequency and other asset classes than equity.

Research Products

• [Journal Article] 絵画投資と金融資産バブル (2011)
  • Author(s): 平木多賀人、伊藤彰敏、竹澤直哉
  • Journal Title: 立教ビジネスレビュー Volume: 第4号 Pages: 2-11
• [Journal Article] How Did Japanese Investments Influence International Art Prices? (2009)
  • Author(s): T. Hiraki, A. Ito, D. A. Speith and N. Takezawa
  • Journal Title: Journal of Financial and Quantitative Analysis Volume: Vol.44, No.6 Pages: 1489-1514
  • Peer Reviewed
• [Journal Article] Risk Premia in International Equity Markets Revisited (2009)
  • Author(s): S. J. Brown, T. Hiraki, K. Arakawa and S. Ohno
  • Journal Title: Pacific-Basin Finance Journal Volume: Vo. 17, No.3 Pages: 295-318
  • Peer Reviewed
• [Presentation] The Investment Value of Management Earnings Forecasts (2012)
  • Author(s): T. Hiraki, M. Watanabe and A. Watanabe
  • Organizer: 日本ファイナンス学会第20回大会
  • Place of Presentation: 一橋大学
• [Presentation] Household Consumption on Luxury Goods and Equity Premium Puzzle in Japan (2011)
  • Author(s): T. Hiraki, A. Ito and N. Takezawa
  • Organizer: International Finance and Accounting Conference in Nagoya
  • Place of Presentation: Nagoya City University
  • Year and Date: 2011-09-10
• [Presentation] Luxury Goods Consumption, Sentiment and Equity Premium Puzzle in Japan (2011)
  • Author(s): Takato Hiraki
  • Organizer: The 2nd Workshop on Finance and Accounting Research
  • Place of Presentation: Nagoya International Congress
  • Year and Date: 2011-09-10
• [Presentation] 投資家センチメントのスピルオーバー:日本人投資家が国際絵画市場に及ぼした影響 (2011)
  • Author(s): 平木多賀人
  • Organizer: 定例ファイナンス・ワークショップ
  • Place of Presentation: Sidler School of MGMT, University of Hawaii USA
  • Year and Date: 2011-03-09
• [Remarks] SSRN
  • URL: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=67452