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Determinants of money flows into investment trusts in Japan

Shinozawa, Yoshikatsu and Vivian, Andrew (2015) 'Determinants of money flows into investment trusts in Japan.' Journal of International Financial Markets, Institutions and Money, 37. pp. 138-161.

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Abstract

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 a large proportion of 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.

Item Type: Articles
Keywords: fund flow; mutual fund; investors’ behaviour; Japanese investment trusts
SOAS Departments & Centres: Faculty of Law and Social Sciences > School of Finance and Management
Faculty of Law and Social Sciences > School of Finance and Management > Centre for Financial and Management Studies (CeFiMS)
DOI (Digital Object Identifier): 10.1016/j.intfin.2015.02.005
Depositing User: Yoshikatsu Shinozawa
Date Deposited: 11 Aug 2015 08:50
URI: http://eprints.soas.ac.uk/id/eprint/19846

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