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The Open-End Japanese Mutual Fund Puzzle

Stephen J. Brown
NYU Stern School of Business

William N. Goetzmann
Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Takato Hiraki
Kwansei Gakuin University - Business School

Toshiyuki Otsuki
International University of Japan

Noriyoshi Shiraishi
Rikkyo University - School of Social Relations


November 1997


Abstract:     
Recent empirical evidence has suggested that the Japanese mutual fund industry has underperformed dramatically in the past two decades. Conjectured reasons for under performance range from tax-dilution effect 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 due 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.

JEL Classifications: G2, F3

Working Paper Series

Date posted: April 23, 1998 ; Last revised: April 24, 2008

Suggested Citation

Brown, Stephen J., Goetzmann, William N., Hiraki, Takato, Otsuki, Toshiyuki and Shiraishi, Noriyoshi, The Open-End Japanese Mutual Fund Puzzle (November 1997). Available at SSRN: http://ssrn.com/abstract=79453 or doi:10.2139/ssrn.79453


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Contact Information

William N. Goetzmann (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stephen J. Brown
NYU Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
Takato Hiraki
Kwansei Gakuin University - Business School ( email )
Nishinomiya 662-8501 Japan
(+81)798-54-6973 (Phone)
(+81)798-51-0903 (Fax)
Toshiyuki Otsuki
International University of Japan ( email )
Yamato-machi
Niigata-ken 949-7277 Japan
Noriyoshi Shiraishi
Rikkyo University - School of Social Relations ( email )
3-chome Nishi-ikebukuro
Toshima-ku
Tokyo 171-8501
Japan
Feedback to SSRN (Beta)


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