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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27422
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| Title: | An Analysis of the Relative Performance of Japanese and Foreign Money Management |
| Authors: | Brown, Stephen J.
Goetzmann, William N.
Hiraki, Takato
Shiraishi, Noriyoshi |
| Issue Date: | 2-May-2001 |
| Series/Report no.: | S-AM-01-03 |
| Abstract: | 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 two 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. In this paper we examine the
relative performance issue directly by looking at week by week returns
for the period January 23, 1998 through to January 14, 2000. Contrary to
popular perception, Japanese managers actually outperformed their
foreign counterparts over this period of time. Perhaps this indicates
that Japanese managers are more skillful. However, the evidence suggests
that they happened to be in the right place at the right time. We
attribute the superior performance to the asset allocation decision,
rather than to any superior skill in selecting securities. |
| URI: | http://hdl.handle.net/2451/27422 |
| Appears in Collections: | Asset Management
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