Investigation of investor biases in the mutual funds

2015 Fiscal Year Final Research Report

• Project/Area Number: 25380390
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Hitotsubashi University
• Principal Investigator: ITO Akitoshi 一橋大学, 大学院国際企業戦略研究科, 教授 (80307371)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: 投資信託 / 金融グループ / IPO / メインバンク

Outline of Final Research Achievements

The purpose of this study is to examine whether the relationship between the target company held by the mutual fund and the financial group having the mutual fund affects portfolio holdings and performance of the mutual fund. Our primary findings indicate that there is no systematic relationship between fund holdings and financial group membership. However, when we focus on the IPO firms, several interesting findings emerge. Regarding underwriting of IPO stocks, our empirical results are consistent with the conflict of interest hypothesis - main banks in financial group use their private information obtained from previous lending relations to underwrite low-quality IPOs. As for allocation of IPO stocks, when the conflicts of interests are concerned, financial groups are extremely careful not to allocate IPO stocks to mutual funds, possibly fearing the government’s intervention.

Free Research Field

実証ファイナンス