Takato Hiraki - Academia.edu (original) (raw)
Papers by Takato Hiraki
Journal of Behavioral and Experimental Finance, Sep 1, 2021
We study a sample of U.S. global equity mutual funds that invest in markets around the world. Whi... more We study a sample of U.S. global equity mutual funds that invest in markets around the world. While the existing literature shows significant home bias among investors, we find that U.S. global funds on average do not exhibit home bias but with cross-fund variation. Fund manager teams with more foreign educational background, younger fund managers, and those with MBA degrees tend to invest more in international markets. When sorting funds into deciles by the level of home bias, we find a convex relationship between home bias and performance. Both home-and foreign-biased funds outperform medium decile funds and hold concentrated portfolios, supporting the information hypothesis for home and foreign bias. Further, the well-performing foreign-biased funds are much larger than other funds, indicating that there are no decreasing returns to scale among global equity mutual funds.
Pacific-basin Finance Journal, Apr 1, 2023
Journal of Economics and Business, Jul 1, 2021
Abstract We investigate how universal banking groups utilized information advantage at the initia... more Abstract We investigate how universal banking groups utilized information advantage at the initial public offerings (IPOs) in Japan over the period 2002-2012. We focus on the IPO issues of universal bank clients allocated by underwriters from the issuers’ main bank groups, competing commercial bank groups, and traditional investment bank groups. We find that the main bank underwriters do not advantage their affiliated mutual funds in terms of the initial and aftermarket returns; neither do the traditional investment bank underwriters. We interpret the former finding as indicating that the information advantage generated by universal banking had not been utilized to increase the benefits of their investment customers. On the other hand, the less informed and thus less monitored commercial bank underwriters allocate IPO issues with low risk-adjusted aftermarket returns to their affiliated mutual funds, suggesting conflicts of interest or an inefficient outcome.
Social Science Research Network, 2017
Financial conglomeration has created full and partial universal banking services in the industry.... more Financial conglomeration has created full and partial universal banking services in the industry. Using a sample of 779 Japanese IPOs over the 2002-2012 period, we find a strong retail orientation in new share allocation. The most complete universal banking form of underwriting neither advantages nor disadvantages investors in the underwriter's affiliated mutual funds. Another form of underwriting through non-bank lenders yields a long-run advantage to investors in their affiliated funds. These results are consistent with the information advantage hypothesis on IPO share allocation under the strong regulation overreach assumption. Meantime, we find significant evidence of conflicts of interest in institutional allocation by the underwriters of non-main commercial banks. The result also shows that pre-IPO main banks do not withdraw from their loan commitment to the IPO issuer though reducing the amount of loans in any aftermarket performance condition. Bank-centered financial conglomeration has overall helped many small firms go public and stay long in the publicly traded market.
They outperform diversified funds and those with country-specific portfolios, write Takato Hiraki... more They outperform diversified funds and those with country-specific portfolios, write Takato Hiraki, Ming Liu and Xue Wang
Journal of Economics and Business, 2021
Abstract We investigate how universal banking groups utilized information advantage at the initia... more Abstract We investigate how universal banking groups utilized information advantage at the initial public offerings (IPOs) in Japan over the period 2002-2012. We focus on the IPO issues of universal bank clients allocated by underwriters from the issuers’ main bank groups, competing commercial bank groups, and traditional investment bank groups. We find that the main bank underwriters do not advantage their affiliated mutual funds in terms of the initial and aftermarket returns; neither do the traditional investment bank underwriters. We interpret the former finding as indicating that the information advantage generated by universal banking had not been utilized to increase the benefits of their investment customers. On the other hand, the less informed and thus less monitored commercial bank underwriters allocate IPO issues with low risk-adjusted aftermarket returns to their affiliated mutual funds, suggesting conflicts of interest or an inefficient outcome.
SSRN Electronic Journal, 2017
Financial conglomeration has created full and partial universal banking services in the industry.... more Financial conglomeration has created full and partial universal banking services in the industry. Using a sample of 779 Japanese IPOs over the 2002-2012 period, we find a strong retail orientation in new share allocation. The most complete universal banking form of underwriting neither advantages nor disadvantages investors in the underwriter's affiliated mutual funds. Another form of underwriting through non-bank lenders yields a long-run advantage to investors in their affiliated funds. These results are consistent with the information advantage hypothesis on IPO share allocation under the strong regulation overreach assumption. Meantime, we find significant evidence of conflicts of interest in institutional allocation by the underwriters of non-main commercial banks. The result also shows that pre-IPO main banks do not withdraw from their loan commitment to the IPO issuer though reducing the amount of loans in any aftermarket performance condition. Bank-centered financial conglomeration has overall helped many small firms go public and stay long in the publicly traded market.
ERN: Other IO: Empirical Studies of Firms & Markets (Topic), 2017
We examine the pricing implications of management earnings forecasts by taking advantage of the u... more We examine the pricing implications of management earnings forecasts by taking advantage of the unique corporate disclosure practice in Japan, where listed firms regularly announce earnings forecasts upon requests by stock exchanges and the press. A calendar-time strategy using the forecasted earnings-to-price ratio earns a premium comparable to, and separate from, the value premium based on the book-to-market ratio. The premium is robust to a variety of factor and characteristic controls including realized and forecasted earnings momentum. The result is more consistent with characteristic pricing than factor pricing and challenges risk-based explanation.
This paper examines the stock price performance surrounding stock repurchase announcements in Jap... more This paper examines the stock price performance surrounding stock repurchase announcements in Japan. The positive cumulative abnormal return of 2.0% is observed from one day before to thirty days after the announcements. This paper also attempts to distinguish between the agency costs of free cash flow hypothesis and the information signaling hypothesis to explain the market reaction to the announcements. The primary finding is that the repurchase announcements made by low-valuation and small firms receive a stronger positive market reaction. This evidence supports the information signaling hypothesis that stock repurchases send a strong signal to less informed outside investors that the stocks are undervalued. On the other hand, the evidence which supports the agency cost of free cash flow hypothesis is not fully observed.
Pacific-basin Finance Journal, Sep 1, 2003
Foreign investment management firms have recently started to play a major role in the investment ... more 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
RePEc: Research Papers in Economics, Apr 1, 2008
ABSTRACT Recent empirical evidence has suggested that the Japanese mutual fund industry has under... more ABSTRACT Recent empirical evidence has suggested that the Japanese mutual fund industry has underperformed dramatically in the past two decades. Conjectured reasons for under performance range from tax-dilution effect to high fees, high turnover and poor asset management. In this paper, we show that this underperformance is largely due to tax-dilution effects and not necessarily due to poor management. Using a broad database of funds which includes investment trusts closed to new investment we show that once an instrument for the time-varying tax-dilution exposure is included in a factor model, there is little evidence of poor risk-adjusted performance. A style analysis of the industry demonstrates that managers appear to pursue tax-driven dynamic strategies.
RePEc: Research Papers in Economics, Oct 3, 1998
Economics Management Series, Sep 1, 2013
ABSTRACT
This study examines dynamics among the art, Japanese land, Japanese and U.S. stock market prices ... more This study examines dynamics among the art, Japanese land, Japanese and U.S. stock market prices during the sample period from 1976 to 1998. We find that the Japanese land prices caused both art and Japanese stock prices to co-move during the sample period. We interpret this finding as suggesting that the accelerated appreciation of land prices in Japan stimulated Japanese investor demands for both international arts and Japanese stocks, especially, in the late 1980s. We further show that the Japanese land index as well as own art index returns are dominant factors in generating fluctuations of returns in most art indexes. We also find that an influence of the Japanese land prices on art prices was preserved and even increased in the 1990s after the burst of bubbles. We interpret this as suggesting that in the 1990s the decreasing land prices in Japan urged some Japanese investors to sell their holdings of arts at a considerable bargain.
Http Dx Doi Org 10 3905 Jfi 1996 408184, Feb 22, 2009
Asia Pacific Financial Markets, 1994
Journal of Banking & Finance, 2015
ABSTRACT
Pacific-Basin Finance Journal, 1999
This paper explores the evidence linking short-term returns for individual Tokyo Stock Ž. Exchang... more This paper explores the evidence linking short-term returns for individual Tokyo Stock Ž. Exchange TSE stocks and lagged trading volume over the period from January 1981 to June 1998. The TSE differs substantially from North American stock markets. It has no market-makers; it is a single-price, two-way, transaction-based continuous auction market with price movement limits. We apply a simple contrarian trading strategy similar to that w
Ritter for helpful comments. Hiraki and Ito would like to thank the Japan Securities Research Fou... more Ritter for helpful comments. Hiraki and Ito would like to thank the Japan Securities Research Foundation for its generous research grant and NLI Research Institute (Tokyo) for data and other research supports.
Journal of Behavioral and Experimental Finance, Sep 1, 2021
We study a sample of U.S. global equity mutual funds that invest in markets around the world. Whi... more We study a sample of U.S. global equity mutual funds that invest in markets around the world. While the existing literature shows significant home bias among investors, we find that U.S. global funds on average do not exhibit home bias but with cross-fund variation. Fund manager teams with more foreign educational background, younger fund managers, and those with MBA degrees tend to invest more in international markets. When sorting funds into deciles by the level of home bias, we find a convex relationship between home bias and performance. Both home-and foreign-biased funds outperform medium decile funds and hold concentrated portfolios, supporting the information hypothesis for home and foreign bias. Further, the well-performing foreign-biased funds are much larger than other funds, indicating that there are no decreasing returns to scale among global equity mutual funds.
Pacific-basin Finance Journal, Apr 1, 2023
Journal of Economics and Business, Jul 1, 2021
Abstract We investigate how universal banking groups utilized information advantage at the initia... more Abstract We investigate how universal banking groups utilized information advantage at the initial public offerings (IPOs) in Japan over the period 2002-2012. We focus on the IPO issues of universal bank clients allocated by underwriters from the issuers’ main bank groups, competing commercial bank groups, and traditional investment bank groups. We find that the main bank underwriters do not advantage their affiliated mutual funds in terms of the initial and aftermarket returns; neither do the traditional investment bank underwriters. We interpret the former finding as indicating that the information advantage generated by universal banking had not been utilized to increase the benefits of their investment customers. On the other hand, the less informed and thus less monitored commercial bank underwriters allocate IPO issues with low risk-adjusted aftermarket returns to their affiliated mutual funds, suggesting conflicts of interest or an inefficient outcome.
Social Science Research Network, 2017
Financial conglomeration has created full and partial universal banking services in the industry.... more Financial conglomeration has created full and partial universal banking services in the industry. Using a sample of 779 Japanese IPOs over the 2002-2012 period, we find a strong retail orientation in new share allocation. The most complete universal banking form of underwriting neither advantages nor disadvantages investors in the underwriter's affiliated mutual funds. Another form of underwriting through non-bank lenders yields a long-run advantage to investors in their affiliated funds. These results are consistent with the information advantage hypothesis on IPO share allocation under the strong regulation overreach assumption. Meantime, we find significant evidence of conflicts of interest in institutional allocation by the underwriters of non-main commercial banks. The result also shows that pre-IPO main banks do not withdraw from their loan commitment to the IPO issuer though reducing the amount of loans in any aftermarket performance condition. Bank-centered financial conglomeration has overall helped many small firms go public and stay long in the publicly traded market.
They outperform diversified funds and those with country-specific portfolios, write Takato Hiraki... more They outperform diversified funds and those with country-specific portfolios, write Takato Hiraki, Ming Liu and Xue Wang
Journal of Economics and Business, 2021
Abstract We investigate how universal banking groups utilized information advantage at the initia... more Abstract We investigate how universal banking groups utilized information advantage at the initial public offerings (IPOs) in Japan over the period 2002-2012. We focus on the IPO issues of universal bank clients allocated by underwriters from the issuers’ main bank groups, competing commercial bank groups, and traditional investment bank groups. We find that the main bank underwriters do not advantage their affiliated mutual funds in terms of the initial and aftermarket returns; neither do the traditional investment bank underwriters. We interpret the former finding as indicating that the information advantage generated by universal banking had not been utilized to increase the benefits of their investment customers. On the other hand, the less informed and thus less monitored commercial bank underwriters allocate IPO issues with low risk-adjusted aftermarket returns to their affiliated mutual funds, suggesting conflicts of interest or an inefficient outcome.
SSRN Electronic Journal, 2017
Financial conglomeration has created full and partial universal banking services in the industry.... more Financial conglomeration has created full and partial universal banking services in the industry. Using a sample of 779 Japanese IPOs over the 2002-2012 period, we find a strong retail orientation in new share allocation. The most complete universal banking form of underwriting neither advantages nor disadvantages investors in the underwriter's affiliated mutual funds. Another form of underwriting through non-bank lenders yields a long-run advantage to investors in their affiliated funds. These results are consistent with the information advantage hypothesis on IPO share allocation under the strong regulation overreach assumption. Meantime, we find significant evidence of conflicts of interest in institutional allocation by the underwriters of non-main commercial banks. The result also shows that pre-IPO main banks do not withdraw from their loan commitment to the IPO issuer though reducing the amount of loans in any aftermarket performance condition. Bank-centered financial conglomeration has overall helped many small firms go public and stay long in the publicly traded market.
ERN: Other IO: Empirical Studies of Firms & Markets (Topic), 2017
We examine the pricing implications of management earnings forecasts by taking advantage of the u... more We examine the pricing implications of management earnings forecasts by taking advantage of the unique corporate disclosure practice in Japan, where listed firms regularly announce earnings forecasts upon requests by stock exchanges and the press. A calendar-time strategy using the forecasted earnings-to-price ratio earns a premium comparable to, and separate from, the value premium based on the book-to-market ratio. The premium is robust to a variety of factor and characteristic controls including realized and forecasted earnings momentum. The result is more consistent with characteristic pricing than factor pricing and challenges risk-based explanation.
This paper examines the stock price performance surrounding stock repurchase announcements in Jap... more This paper examines the stock price performance surrounding stock repurchase announcements in Japan. The positive cumulative abnormal return of 2.0% is observed from one day before to thirty days after the announcements. This paper also attempts to distinguish between the agency costs of free cash flow hypothesis and the information signaling hypothesis to explain the market reaction to the announcements. The primary finding is that the repurchase announcements made by low-valuation and small firms receive a stronger positive market reaction. This evidence supports the information signaling hypothesis that stock repurchases send a strong signal to less informed outside investors that the stocks are undervalued. On the other hand, the evidence which supports the agency cost of free cash flow hypothesis is not fully observed.
Pacific-basin Finance Journal, Sep 1, 2003
Foreign investment management firms have recently started to play a major role in the investment ... more 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
RePEc: Research Papers in Economics, Apr 1, 2008
ABSTRACT Recent empirical evidence has suggested that the Japanese mutual fund industry has under... more ABSTRACT Recent empirical evidence has suggested that the Japanese mutual fund industry has underperformed dramatically in the past two decades. Conjectured reasons for under performance range from tax-dilution effect to high fees, high turnover and poor asset management. In this paper, we show that this underperformance is largely due to tax-dilution effects and not necessarily due to poor management. Using a broad database of funds which includes investment trusts closed to new investment we show that once an instrument for the time-varying tax-dilution exposure is included in a factor model, there is little evidence of poor risk-adjusted performance. A style analysis of the industry demonstrates that managers appear to pursue tax-driven dynamic strategies.
RePEc: Research Papers in Economics, Oct 3, 1998
Economics Management Series, Sep 1, 2013
ABSTRACT
This study examines dynamics among the art, Japanese land, Japanese and U.S. stock market prices ... more This study examines dynamics among the art, Japanese land, Japanese and U.S. stock market prices during the sample period from 1976 to 1998. We find that the Japanese land prices caused both art and Japanese stock prices to co-move during the sample period. We interpret this finding as suggesting that the accelerated appreciation of land prices in Japan stimulated Japanese investor demands for both international arts and Japanese stocks, especially, in the late 1980s. We further show that the Japanese land index as well as own art index returns are dominant factors in generating fluctuations of returns in most art indexes. We also find that an influence of the Japanese land prices on art prices was preserved and even increased in the 1990s after the burst of bubbles. We interpret this as suggesting that in the 1990s the decreasing land prices in Japan urged some Japanese investors to sell their holdings of arts at a considerable bargain.
Http Dx Doi Org 10 3905 Jfi 1996 408184, Feb 22, 2009
Asia Pacific Financial Markets, 1994
Journal of Banking & Finance, 2015
ABSTRACT
Pacific-Basin Finance Journal, 1999
This paper explores the evidence linking short-term returns for individual Tokyo Stock Ž. Exchang... more This paper explores the evidence linking short-term returns for individual Tokyo Stock Ž. Exchange TSE stocks and lagged trading volume over the period from January 1981 to June 1998. The TSE differs substantially from North American stock markets. It has no market-makers; it is a single-price, two-way, transaction-based continuous auction market with price movement limits. We apply a simple contrarian trading strategy similar to that w
Ritter for helpful comments. Hiraki and Ito would like to thank the Japan Securities Research Fou... more Ritter for helpful comments. Hiraki and Ito would like to thank the Japan Securities Research Foundation for its generous research grant and NLI Research Institute (Tokyo) for data and other research supports.