Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Brown, Stephen J. | - |
dc.contributor.author | Goetzmann, William N. | - |
dc.contributor.author | Hiraki, Takato | - |
dc.contributor.author | Otsuki, Toshiyuki | - |
dc.contributor.author | Shiraishi, Noriyoshi | - |
dc.date.accessioned | 2008-05-29T08:17:02Z | - |
dc.date.available | 2008-05-29T08:17:02Z | - |
dc.date.issued | 1998-10-13 | - |
dc.identifier.uri | http://hdl.handle.net/2451/26857 | - |
dc.description.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. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-98-012 | en |
dc.title | The Japanese Open-End Fund Puzzle | en |
dc.type | Working Paper | en |
Appears in Collections: | Economics Working Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
wpa98012.pdf | 1.84 MB | Adobe PDF | View/Open |
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.