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Style Analysis of Japanese Mutual Funds

Research Project

Project/Area Number 09630122
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Business administration
Research InstitutionRIKKYO UNIVERSITY

Principal Investigator

SHIRAISHI Noriyoshi  RIKKYO UNIV. COLLEGE OF SOCIAL RELATIONS, PROFESSOR, 社会学部, 教授 (60171039)

Co-Investigator(Kenkyū-buntansha) HIRAKI Takato  International UNIV. of Japan, Grad. School of Int. mgt., PROFESSOR, 国際経営学研究科, 教授 (50208815)
Project Period (FY) 1997 – 1999
Project Status Completed (Fiscal Year 1999)
Budget Amount *help
¥2,200,000 (Direct Cost: ¥2,200,000)
Fiscal Year 1999: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1998: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1997: ¥1,200,000 (Direct Cost: ¥1,200,000)
KeywordsMutual Fund / Investment style / Style Analysis / Investment Performance / Tex Difution Effect / 株式投信 / 運用スタイル分析 / 投資スタイル / ファンド評価 / 希簿化効果 / 追加型株式投信ファンド
Research Abstract

Recent empirical evidence has suggested that the Japanese mutual fund industry has underperformed dramatically over the past two decades. In this paper, we examine three potential explanations for this puzzle proposed in recent research. We look at manager style, tax dilution and manager inefficiency. Because tax dilution effects are potentially related to fund styles, we use a returns-based stylistic classification system to group funds with similar styles together. Our evidence confirms Cai, Chan and Yamada's (1997) finding that tax dilution is a significant factor in underperformance for a number of fund styles. We propose a simple instrument for controlling for dilution effects in Japanese mutual fund performance evaluation. Use of this instrument in a multi-factor linear model of fund performance suggests that Japanese fund manager alphas for most types of funds over the period 1982 through 1995 are statistically indistinguishable from zero.

Report

(4 results)
  • 1999 Annual Research Report   Final Research Report Summary
  • 1998 Annual Research Report
  • 1997 Annual Research Report
  • Research Products

    (7 results)

All Other

All Publications (7 results)

  • [Publications] NORIYOSHI SHIRAISHI, TAKATO HIRAKI, 他: "The Japanese Open-End Fund Puzzle"The Journal of Business. (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Noriyoshi Shiraishi, Takato Hiraki, and et al.: "The Japanese Open-End Fund Puzzle"Journal of Business. Forthcoming. (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] N. Shiraishi T. Hiraki, 他: "The Japanese Open-end Fund Puzzle"Journal of Business. (2000)

    • Related Report
      1999 Annual Research Report
  • [Publications] Stephen J.Brown: "The Japanese Open-End Fund Puzzle" National Bureau of Economic Research (NBER) Working Paper Series. 6347. (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] Noriyoshi Shiraishi: "A note on the Term Structure of Implied Volatilities for the Yen/U.S.Dollar Currency Option" Asia-Pacific Financial Markets. 5. 227-236 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] 平木 多賀人: "投資ファンドのスタイルと評価" JAFEE 1998冬季大会論文集. (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] Brown, Goetzmann, Hiraki, Otsuki and Shiraishi: "The Japanese Open-end Fund puzzle" National Bureau of Economic Reserch(NBER)Working Paper Series,Working Paper 6347. 1-43 (1997)

    • Related Report
      1997 Annual Research Report

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Published: 1997-04-01   Modified: 2016-04-21  

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