1999 Fiscal Year Final Research Report Summary
Style Analysis of Japanese Mutual Funds
| Project/Area Number |
09630122
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Business administration
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| Research Institution | RIKKYO UNIVERSITY |
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Principal Investigator |
SHIRAISHI Noriyoshi RIKKYO UNIV. COLLEGE OF SOCIAL RELATIONS, PROFESSOR, 社会学部, 教授 (60171039)
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| 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)
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| Project Period (FY) |
1997 – 1999
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| Keywords | Mutual Fund / Investment style / Style Analysis / Investment Performance / Tex Difution Effect |
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| 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.
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