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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26857

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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