TY  - JOUR
AU  - Brown,Stephen J.
AU  - Goetzmann,William N.
AU  - Hiraki,Takato
AU  - Otsuki,Toshiyuki
AU  - Shiraishi,Noriyoshi
TI  - The Japanese Open-End Fund Puzzle
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6347
PY  - 1998
Y2  - January 1998
UR  - http://www.nber.org/papers/w6347
L1  - http://www.nber.org/papers/w6347.pdf
N1  - Author contact info:
Stephen J. Brown
Stern School of Business
New York University
New York, NY 10012
Tel: 718 273 0317
Fax: 718 981 7239
E-Mail: sbrown@stern.nyu.edu

William N. Goetzmann
School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
Tel: 203/432-5950
Fax: 203/432-3003
E-Mail: william.goetzmann@yale.edu
AB  - 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.
ER  -