Risk Consistency and Professional Fund Managers’ Investment Behavior: Questionnaire-based Analysis on Japanese Market*

Masayuki Susai (Nagasaki University)
Hiroshi Moriyasu (Nagasaki University)

4.Summary

In this research paper, we investigated risk consistency and other investment behaviors of fund managers working at Japanese investment institutions using a questionnaire based survey that was conducted in October of 2005. In particular, we focused on the herding behavior and disposition effect of fund managers. This research utilized the results of numerous research papers from the field of behavioral finance.

We began by investigating the attitudes towards risk held by fund managers. We then divided them into two groups: ‘risk consistent’ fund managers and ‘risk inconsistent’ fund managers. In exploring the difference in investment behavior between these two groups, we found that ‘risk inconsistent’ fund managers have a tendency to show disposition behavior. As for herding behavior, we could not find any strong evidence that might indicate a difference between the two groups.

To further our research, we took a closer look at the disposition effect that we found in our preliminary analysis. Because we could not ignore the influence of each fund manger’s individual background, we estimated an ordered probit model to control individual characteristics. After controlling individual information, we were able to confirm that ‘risk inconsistent’ fund managers show disposition effect.

  1. A summary of our survey is reported in Toshino (2006).
  2. We also introduce amount of reward dummy into our ordered probit model and estimate these models to find out whether there exists this effect. All the dummy variables are estimated insignificantly. From these results, we conclude that this effect does not exist for professional fund managers in this paper.
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Empirical Study on Asian Financial Markets

Edited by Masayuki Susai Hiromasa Okada

本書は、2006年12月に長崎大学において開催された国際カンファレンス等で報告された東アジアの金融市場を対象とした金融および会計学における実証研究の成果をまとめたものである。