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Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis

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  • Stephanos Papadamou

    () (Department of Economics, University of Thessaly, 28th October 78 Street, 38333 Volos, Greece)

  • Nikolaos A. Kyriazis

    () (Department of Economics, University of Thessaly, 28th October 78 Street, 38333 Volos, Greece)

  • Lydia Mermigka

    () (Department of Economics, University of Thessaly, 28th October 78 Street, 38333 Volos, Greece)

Abstract

This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate whether active or passive management has been affected by unconventional times and to what extent. Evidence indicates that in four out of eight funds, asset selection presents a significant contribution to returns. The Selection Sharpe Ratios for sectoral and style analyses exhibit positive values added per unit of risk due to active management for the majority of our funds in the pre-Lehman default period. Nevertheless, none of them presents statistical significance according to the t -statistic. Moreover, over the post-Lehman default, only two out of eight funds achieved lower volatility levels and higher returns due to active management. A style drift to big capitalization stocks with low values of book to market ratio is to be held responsible for the outperformance. Overall, our findings imply that active management in a monetary easing environment does not add significant value to the mutual fund performance.

Suggested Citation

  • Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 5(1), pages 1-20, March.
  • Handle: RePEc:gam:jijfss:v:5:y:2017:i:1:p:9-:d:91815
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    References listed on IDEAS

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    Keywords

    style analysis; unconventional monetary policy; Japanese mutual funds;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance
    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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