The Japanese Open-End Fund Puzzle
AbstractRecent 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.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 6347.
Date of creation: Jan 1998
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Publication status: published as Brown, Stephen J, et al, 2001. "The Japanese Open-End Fund Puzzle," Journal of Business, University of Chicago Press, vol. 74(1), pages 59-77, January.
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- 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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- Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
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- 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
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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.
- 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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