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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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