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- catalog abstract "Recent 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.".
- catalog contributor b10671566.
- catalog contributor b10671567.
- catalog created "[1998]".
- catalog date "1998".
- catalog date "[1998]".
- catalog dateCopyrighted "[1998]".
- catalog description "Includes bibliographical references (p. 41).".
- catalog description "Recent 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.".
- catalog extent "43 p. :".
- catalog isPartOf "NBER working paper series ; no.6347".
- catalog isPartOf "Working paper series (National Bureau of Economic Research) ; no.6347.".
- catalog issued "1998".
- catalog issued "[1998]".
- catalog language "eng".
- catalog publisher "Cambridge, MA. : National Bureau of Economic Research,".
- catalog spatial "Japan".
- catalog subject "Mutual funds Japan Effect of taxation on Econometric models.".
- catalog title "The Japanese open-end fund puzzle / Stephen J. Brown ... [et. al.].".
- catalog type "Computer network resources. local".
- catalog type "text".