2011 Fiscal Year Final Research Report
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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| 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 |
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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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Research Products
(6 results)
