Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In both markets exposure to this factor is priced, and in the Japanese case, we document evidence of negative correlations between Bull' and Bear' domestic funds. The flows to bear foreign funds in Japan display some evidence of negative correlation to domestic and foreign equity funds, suggesting that there is a foreign vs. domestic sentiment factor in Japan that does not appear in the contemporaneous U.S. data. By contrast, U.S. mutual fund investors appear to regard domestic and foreign equity mutual funds as economic substitutes.

Risk Premia in International Equity Markets Revisited

Recent evidence suggests that global equity markets are becoming more risky. We find that much of the apparent increase in international variance and covariance of returns can be attributed to systematic variations in global risk premia correlated across markets, rather than to any fundamental change in the risk attributes of these markets. This result has interest both for practitioners and for those interested in modeling global asset prices

Correlation Effects in a One-Dimensional Quarter-Filled Electron System with Repulsive Interactions

A one-dimensional electron system at quarter-filling has been examined by applying the renormalization group method to a bosonized model with on-site (U) and nearest-neighbor (V) repulsive interactions. By evaluating both normal scattering and Umklapp scattering perturbatively, we obtain a phase diagram in which a metallic state with a 2k_F spin density wave (k_F is the Fermi wave number) moves into an insulating state with charge disproportionation of a 4k_F charge density wave with an increase in both U and V. The effect of the next-nearest-neighbor repulsion is also discussed.Comment: 4 pages, 2 figures, to be published in J. Phys. Soc. Jpn. 69 (2000) No.

An Analysis of the Relative Performance of Japanese and Foreign Money Management

Foreign investment management firms have recently started to play a major role in the investment trust business in Japan. In terms of assets under management, their size and market share have almost doubled in the past several years. In part, the relative success of foreign managed firms in attracting market share may be attributed to the fact that Japanese investment trusts have underperformed benchmarks in quite a dramatic fashion over the past two decades. This is at best indirect evidence that Japanese funds underperform their foreign counterparts. In a recent paper (Brown, Goetzmann, Hiraki, Otsuki and Shiraishi 2001) we show that the underperformance can be attributed almost entirely to the unique tax environment of Japanese investment trusts, which had the effect of heavily penalizing early withdrawals. The relaxation of these regulations coincided with a major inflow of new money into the investment trust business. We examine the relative performance of Japanese and foreign investment management firms before and after this change in tax regulations, and find that the poor relative performance of Japanese funds from April 2000 through December 2001 may in part be attributed to the huge inflow of new money into this sector and the style shifts made necessary to accommodate this flow

An Analysis of the Relative Performance of Japanese and Foreign Money Management

Foreign investment management firms have recently started to play a major role in the investment trust business in Japan. In terms of assets under management, their size and market share have almost doubled in the past two years. In part, the relative success of foreign managed firms in attracting market share may be attributed to the fact that Japanese investment trusts have underperformed benchmarks in quite a dramatic fashion over the past two decades. This is at best indirect evidence that Japanese funds underperform their foreign counterparts. In a recent paper (Brown, Goetzmann, Hiraki, Otsuki and Shiraishi 2001) we show that the underperformance can be attributed almost entirely to the unique tax environment of Japanese investment trusts. In this paper we examine the relative performance issue directly by looking at week by week returns for the period January 23, 1998 through to January 14, 2000. Contrary to popular perception, Japanese managers actually outperformed their foreign counterparts over this period of time. Perhaps this indicates that Japanese managers are more skillful. However, the evidence suggests that they happened to be in the right place at the right time. We attribute the superior performance to the asset allocation decision, rather than to any superior skill in selecting securities

Effects of Next-Nearest-Neighbor Repulsion on One-Dimensional Quarter-Filled Electron Systems

We examine effects of the next-nearest-neighbor repulsion on electronic states of a one-dimensional interacting electron system which consists of quarter-filled band and interactions of on-site and nearest-neighbor repulsion. We derive the effective Hamiltonian for the electrons around wave number \pm \kf (\kf: Fermi wave number) and apply the renormalization group method to the bosonized Hamiltonian. It is shown that the next-nearest-neighbor repulsion makes 4\kf-charge ordering unstable and suppresses the spin fluctuation. Further the excitation gaps and spin susceptibility are also evaluated.Comment: 19 pages, 8 figures, submitted to J. Phys. Soc. Jp

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In both markets exposure to this factor is priced, and in the Japanese case, we document evidence of negative correlations between “Bull” and “Bear” domestic funds. The flows to bear foreign funds in Japan display some evidence of negative correlation to domestic and foreign equity funds, suggesting that there is a foreign vs. domestic sentiment factor in Japan that does not appear in the contemporaneous U.S. data. By contrast, U.S. mutual fund investors appear to regard domestic and foreign equity mutual funds as economic substitutes

Analytical Formulation of Copper Loss of Litz Wire with Multiple Levels of Twisting Using Measurable Parameters

Litz wire has been widely utilized in power transformers and inductors as a wire with low copper loss at high-frequency operation. The Litz wire is commonly made of many thin isolated strands twisted in multiple levels. Due to its complicated structure, the copper loss prediction of the Litz wire has been difficult, hindering the design optimization of the Litz wire structure. To overcome this difficulty, preceding studies have investigated the analytical copper loss models of the constituting elements of the Litz wire, i.e., the strands and the bundles of strands. The purpose of this article is to propose an analytical copper loss model of the Litz wire by utilizing these preceding knowledge. The proposed model is formulated only with parameters that can be measured by basic testing instruments. Besides, the proposed model considers the bundle structure of the Litz wire, which affects the local ac current distribution, and the twisting pitch, which causes the inclination of the Litz wire strands. The proposed model was tested by comparing the analytical prediction and experimental measurements of the ac resistance of commercially available Litz wires. As a result, the predicted ac resistance showed good agreement with the measured ac resistance, suggesting the appropriateness of the proposed model. © 1972-2012 IEEE

Effect of nearest neighbor repulsion on the low frequency phase diagram of a quarter-filled Hubbard-Holstein chain

We have studied the influence of nearest-neighbor (NN) repulsion on the low frequency phase diagram of a quarter-filled Hubbard-Holstein chain. The NN repulsion term induces the apparition of two new long range ordered phases (one $4k_F$ CDW for positive $U_{eff} = U-2g^2/\omega$ and one $2k_F$ CDW for negative $U_{eff}$) that did not exist in the V=0 phase diagram. These results are put into perspective with the newly observed charge ordered phases in organic conductors and an interpretation of their origin in terms of electron-molecular vibration coupling is suggested.Comment: 10 pages, 10 figure

Finite-temperature phase transitions in quasi-one-dimensional molecular conductors

Phase transitions in 1/4-filled quasi-one-dimensional molecular conductors are studied theoretically on the basis of extended Hubbard chains including electron-lattice interactions coupled by interchain Coulomb repulsion. We apply the numerical quantum transfer-matrix method to an effective one-dimensional model, treating the interchain term within mean-field approximation. Finite-temperature properties are investigated for the charge ordering, the "dimer Mott" transition (bond dimerization), and the spin-Peierls transition (bond tetramerization). A coexistent state of charge order and bond dimerization exhibiting dielectricity is predicted in a certain parameter range, even when intrinsic dimerization is absent.Comment: to be published in J. Phys. Soc. Jpn., Vol. 76 (2007) No. 1 (5 pages, 4 figures); typo correcte