The Japanese Open-End Fund Puzzle
AbstractOver the past 2 decades, Japanese mutual funds have consistently and dramatically underperformed risk-adjusted benchmarks. In this article, we examine manager style, tax dilution, and manager inefficiency as three potential explanations for this puzzle. Grouping funds by style of asset management, we find evidence that confirms Cai, Chan, and Yamada's (1997) conjecture that tax dilution contributes significantly to underperformance. We propose a simple instrument to control for this dilution effect. Using this instrument, we find that alphas of Japanese funds are statistically indistinguishable from zero for most types of funds over the period 1982-95. Copyright 2001 by University of Chicago Press.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 74 (2001)
Issue (Month): 1 (January)
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Web page: http://www.journals.uchicago.edu/JB/
Other versions of this item:
- Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," NBER Working Papers 6347, National Bureau of Economic Research, Inc.
- Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-012, New York University, Leonard N. Stern School of Business-.
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- Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003.
"Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows,"
NBER Working Papers
9470, National Bureau of Economic Research, Inc.
- Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.
- Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
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- Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
- Oh, Natalie Y. & Parwada, Jerry T., 2007. "Relations between mutual fund flows and stock market returns in Korea," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 140-151, April.
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