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 |
Files in This Item:
File | Description | Size | Format | |
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wpa98012.pdf | 1.84 MB | Adobe PDF | View/Open |
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