Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis
AbstractThis paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate whether active or passive management has been affected by unconventional times and to what extent. Evidence indicates that in four out of eight funds, asset selection presents a significant contribution to returns. The Selection Sharpe Ratios for sectoral and style analyses exhibit positive values added per unit of risk due to active management for the majority of our funds in the pre-Lehman default period. Nevertheless, none of them presents statistical significance according to the t-statistic. Moreover, over the post-Lehman default, only two out of eight funds achieved lower volatility levels and higher returns due to active management. A style drift to big capitalization stocks with low values of book to market ratio is to be held responsible for the outperformance. Overall, our findings imply that active management in a monetary easing environment does not add significant value to the mutual fund performance. View Full-Text
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
Papadamou, S.; Kyriazis, N.A.; Mermigka, L. Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis. Int. J. Financial Stud. 2017, 5, 9.
Papadamou S, Kyriazis NA, Mermigka L. Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis. International Journal of Financial Studies. 2017; 5(1):9.Chicago/Turabian Style
Papadamou, Stephanos; Kyriazis, Nikolaos A.; Mermigka, Lydia. 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis." Int. J. Financial Stud. 5, no. 1: 9.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.