Empirical Studies on Japanese Daily Mutual Fund Flows and Investor Sentiment
| Project/Area Number |
21530321
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Tokyo University of Science (2010-2011)
Kwansei Gakuin University (2009) |
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Principal Investigator |
HIRAKI Takato 東京理科大学, 経営学部, 教授 (50208815)
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(4 results)
Research Products
(8 results)
