The Performance of Japanese Mutual Funds

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2

Posted: 16 Apr 1997

See all articles by Jun Cai

Jun Cai

City University of Hong Kong (CityUHK) - Department of Economics & Finance

K.C. Chan

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Takeshi Yamada

Australian National University (ANU)

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Abstract

We analyze the performance of Japanese open-type stock mutual funds for the 1981-1992 period. The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% to 10.8% per annum. These funds tend to invest more in large stocks with low book-to-market ratios. But this feature does not explain the underperformance. A potential explanation is the dilution effect caused by inflows of funds. In Japan, a new investor of an open-type fund only pays in the after-tax value of the net asset value. We conduct a bootstrap experiment to assess the magnitude of this dilution effect.

JEL Classification: G12

Suggested Citation

Cai, Jun and Chan, Kakeung C. and Yamada, Takeshi, The Performance of Japanese Mutual Funds. REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2. Available at SSRN: https://ssrn.com/abstract=8286

Jun Cai

City University of Hong Kong (CityUHK) - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong

Kakeung C. Chan

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong
852-2358 7669 (Phone)
852-2358 1749 (Fax)

Takeshi Yamada (Contact Author)

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory 2601
Australia

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