The influence of Oversea Investors on Japanese Socially Conscious Funds


竹澤 直哉 (南山大学)
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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第78回
The influence of Oversea Investors on Japanese Socially Conscious Funds

竹澤 直哉 (南山大学)

The purpose of this paper is to indirectly investigate the risk attributes of Socially Conscious Funds that result from oversea investors in the Japanese market during the early 2000’s. The risk attributes are proxied with benchmarks such as the domestic market index and an overseas apparel & luxury goods index. The apparel & luxury goods index is chosen as the benchmark for speculative overseas investors because luxury consumption is known to have a correlation with the investment activity of wealthy individuals with a high fraction of equity wealth. Such overseas investors tend to possess a relatively low level of risk aversion, and this paper identifies the impact of such speculative overseas investors (as approximated by the apparel & luxury goods index) in comparison to Socially Conscious Funds investors (who are argued to pursue long term goals with a buy-and-hold strategies). A rolling regression analysis also reveals the influence of speculative investors on various industries. A clear breakpoint is found around the financial crisis of 2008, but the change in the influence of Apparel & Luxury goods index differs between the industrial sectors.

講 師:
竹澤 直哉 (南山大学)
テーマ:
The influence of Oversea Investors on Japanese Socially Conscious Funds
日 時:
2016年10月31日(月)16:20-17:50
場 所:
大阪大学豊中キャンパス 法経研究棟7階大会議室
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