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.

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

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.

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

Coexisting orders in the quarter-filled Hubbard chain with elastic deformations

The electronic properties of the quarter-filled extended Peierls-Holstein-Hubbard model that includes lattice distortions and molecular deformations are investigated theoretically using the bosonization approach. We predict the existence of a wide variety of charge-elastic phases depending of the values of the Peierls and Holstein couplings. We include the effect of the Peierls deformation in the nearest-neighbor repulsion V, that may be present in real materials where Coulomb interactions depend strongly on the distance, and we show that the phase diagram changes substantially for large V when this term is taken into account.Comment: 6 pages, 3 figure