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Determinants of money flows into investment trusts in Japan

Shinozawa, Yoshikatsu; Vivian, Andrew

Authors

Yoshikatsu Shinozawa

Andrew Vivian



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.

Citation

Shinozawa, Y., & Vivian, A. (2015). Determinants of money flows into investment trusts in Japan. Journal of International Financial Markets, Institutions and Money, 37, 138-161. https://doi.org/10.1016/j.intfin.2015.02.005

Journal Article Type Article
Publication Date Jul 1, 2015
Deposit Date Aug 11, 2015
Journal Journal of International Financial Markets, Institutions and Money
Print ISSN 1042-4431
Electronic ISSN 1873-0612
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 37
Pages 138-161
DOI https://doi.org/10.1016/j.intfin.2015.02.005
Keywords fund flow; mutual fund; investors’ behaviour; Japanese investment trusts