The performance of Japanese mutual funds

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

52 Scopus Citations
View graph of relations

Author(s)

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)237-273
Journal / PublicationReview of Financial Studies
Volume10
Issue number2
Publication statusPublished - Jun 1997

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% and 1O.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.

Citation Format(s)

The performance of Japanese mutual funds. / Jun, Cai; Chan, K. C.; Yamada, Takeshi.

In: Review of Financial Studies, Vol. 10, No. 2, 06.1997, p. 237-273.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review