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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26857
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| Title: | The Japanese Open-End Fund Puzzle |
| Authors: | Brown, Stephen J.
Goetzmann, William N.
Hiraki, Takato
Otsuki, Toshiyuki
Shiraishi, Noriyoshi |
| Issue Date: | 13-Oct-1998 |
| Series/Report no.: | FIN-98-012 |
| Abstract: | Recent empirical evidence has suggested that the Japanese mutual fund
industry has under-performed dramatically over the past two decades.
Conjectured reasons for underperformance range from tax-dilution effects
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 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. |
| URI: | http://hdl.handle.net/2451/26857 |
| Appears in Collections: | Economics Working Papers
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