The Performance of Japanese Mutual Funds

• DOI: 10.1093/rfs/10.2.237
• Publication Date: 2002-07-26T22:58:17Z
• Authors: Jun Cai; K. C. Chan; Takeshi Yamada
• Keywords: Net asset value; Mutual fund

We analyze the performance of Japanese open-type stock mutual funds for 1981–1992 period. The results show that, regardless measures and benchmarks employed, most underperform by between 3.6% 10.8% per annum. These tend to invest more in large stocks with low book-to-market ratios. But this feature does not explain underperformance. A potential explanation is dilution effect caused inflows funds. In Japan, a new investor an fund only pays after-tax value net asset value. conduct bootstrap experiment assess magnitude effect.