FIN-02-028 |
NYU Stern School of Business |
September 2002
Stephen J. Brown, William N. Goetzmann, Takato Hiraki and Noriyoshi Shiraishi
ABSTRACT
Foreign investment management firms have recently started to play
a major role in the investment trust business in Japan. In terms of assets
under management, their size and market share have almost doubled in the
past several years. In part, the relative success of foreign managed firms in
attracting market share may be attributed to the fact that Japanese
investment trusts have underperformed benchmarks in quite a dramatic
fashion over the past two decades. This is at best indirect evidence that
Japanese funds underperform their foreign counterparts. In a recent paper
(Brown, Goetzmann, Hiraki, Otsuki and Shiraishi 2001) we show that the
underperformance can be attributed almost entirely to the unique tax
environment of Japanese investment trusts, which had the effect of heavily
penalizing early withdrawals. The relaxation of these regulations coincided
with a major inflow of new money into the investment trust business. We
examine the relative performance of Japanese and foreign investment
management firms before and after this change in tax regulations, and find
that the poor relative performance of Japanese funds from April 2000 through
December 2001 may in part be attributed to the huge inflow of new money
into this sector and the style shifts made necessary to accommodate this flow.
Stephen J. Brown
Institution: Stern School of Business, New York University, 44th West 4th Street, New York, NY 10012
Telephone: 212-998-0306
Fax: 212-995-4233
Email: sbrown@stern.nyu.edu
Homepage: http://www.stern.nyu.edu/~sbrown/
William N. Goetzmann,
Institution: Yale School of Management, Box 208200, 135 Prospect Street, New Haven CT 06520-8200
Telephone: 203-432-5950
Fax: 203-432-8931
Email: william.goetzmann@yale.edu
Takato Hiraki
Institution: International University of Japan, Graduate School of International
Management
Noriyoshi Shiraishi
Institution: Rikkyo University
To download a copy of this paper click here
To request a copy of this paper click here
|