The Impact of Fund Turnover on Japanese Mutual Fund Performance

40 Pages Posted: 18 Nov 2003

See all articles by Hitoshi Takehara

Hitoshi Takehara

Graduate School of Business and Finance

Takeshi Yamada

Australian National University (ANU)

Date Written: October 2003

Abstract

Japanese open-end mutual funds are churned almost six times as much as mutual funds in the United States. We find that funds with high inflows could underperform those funds with no inflows by more than 7% per annum during periods of high fund flow activities. Although Cai, Chan, and Yamada (1997) and Brown, Goetzmann, Hiraki, Otsuki, and Shiraishi (2001) point to the tax-dilution effect as one of the possible explanations for the large underperformance of Japanese equity funds, these studies have overlooked the impact of the high fund turnover of Japanese mutual fund investors. In contrast to the 1980s when large underperformance in Japanese equity funds coexisted with high fund turnovers, we find that the underperformance almost disappears in the 1990s when fund turnovers became lower.

Keywords: mutual fund, fund flows, churning

JEL Classification: G10, G11, G15, G18, G20

Suggested Citation

Takehara, Hitoshi and Yamada, Takeshi, The Impact of Fund Turnover on Japanese Mutual Fund Performance (October 2003). Available at SSRN: https://ssrn.com/abstract=458761 or http://dx.doi.org/10.2139/ssrn.458761

Hitoshi Takehara

Graduate School of Business and Finance ( email )

1-6-1 Nishiwaseda, Shinjyuku-ku
Tokyo, Tokyo 169-8050
Japan
+81-35286-8419 (Phone)

Takeshi Yamada (Contact Author)

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory 2601
Australia

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
376
Abstract Views
1,811
rank
85,961
PlumX Metrics