The performance of Japanese mutual funds

Cai Jun*, K. C. Chan, Takeshi Yamada

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

55 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)237-273
Number of pages37
JournalReview of Financial Studies
Volume10
Issue number2
DOIs
Publication statusPublished - 1997
Externally publishedYes

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