The Performance of Japanese Mutual Funds
The Performance of Japanese Mutual Funds
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日本共同基金的表现
DOI：
10.1093/rfs/10.2.237
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发表时间：
1997
影响因子：
8.2
通讯作者：
Takeshi Yamada
中科院分区：
文献类型：
--
作者：
Jun Cai;Kalok Chan;Takeshi Yamada
我们分析了1981-1992年期间日本开放式股票共同基金的业绩。研究结果显示，无论采用何种绩效指标和基准，大多数日本共同基金的绩效每年都低于基准3.6%至10.8%。这些基金倾向于更多地投资于账面市值比较低的大型股票。但这一特点并不能解释业绩不佳的原因。一个可能的解释是资本流入造成的稀释效应。在日本，开放式基金的新投资者只需支付资产净值的税后价值。我们进行自助实验来评估这种稀释效应的大小。牛津大学出版社代表金融研究学会在其期刊《金融研究评论》上发表的文章。
We analyze the performance of Japanese opentype 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. But this feature does not explain the underperformance. A potential explanation is the dilution effect caused by inflows offends. 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. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.