The Japanese Open-End Fund Puzzle

45 Pages Posted: 14 Jun 2000  

Stephen J. Brown

New York University - Stern School of Business

William N. Goetzmann

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

Takato Hiraki

Tokyo University of Science - School of Management

Toshiyuki Otsuki

International University of Japan

Noriyoshi Shiraishi

Rikkyo University - School of Social Relations

Multiple version iconThere are 2 versions of this paper

Date Written: January 1998

Abstract

Recent empirical evidence has suggested that the Japanese mutual fund industry has" underperformed 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.

Suggested Citation

Brown, Stephen J. and Goetzmann, William N. and Hiraki, Takato and Otsuki, Toshiyuki and Shiraishi, Noriyoshi, The Japanese Open-End Fund Puzzle (January 1998). NBER Working Paper No. w6347. Available at SSRN: https://ssrn.com/abstract=226098

Stephen J. Brown (Contact Author)

New York University - Stern School of Business ( email )

Stern School of Business
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New York, NY 10012-1126
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William N. Goetzmann

Yale School of Management - International Center for Finance ( email )

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National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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Takato Hiraki

Tokyo University of Science - School of Management ( email )

6-3-1 NiiJuku Katsushika-Ku
Tokyo, 125-8585
Japan
+81-480-21-7611 (Phone)
+81-480-21-7654 (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

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