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|Title: ||The Japanese Open-End Fund Puzzle|
|Authors: ||Brown, Stephen J.|
Goetzmann, William N.
|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.|
|Appears in Collections:||Economics Working Papers|
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