The performance of Japanese mutual funds

• 成果类型: Article
• 署名作者: Cai, J; Chan, KC; Yamada, T
• 署名单位: Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/10.2.237
• 发表日期: 1997
• 页码: 237
• 关键词: STOCK RETURNS; CONTRARIAN INVESTMENT; MANAGED PORTFOLIOS; MARKET; INFORMATION; EFFICIENCY; RISK

摘要

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 10.8% per annum. These funds tend to invest more in large stocks with low, book-to-market ratios. gut 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.