A Study on the Performance of Japanese ETFs

Gerasimos G. Rompotis
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Gerasimos G. Rompotis: University of Athens MBA, National and Kapodistrian University of Athens, Athens, Greece

Economic Analysis Letters, 2024, vol. 3, issue 3, 46-63

Abstract: The current study examines the performance of 76 Japanese equity Exchange Traded Funds (ETFs) over the period 1/1/2018-12/31/2022. Performance is estimated in several ways, that is, raw returns, alphas from single- and multi-factor regression models, and risk-adjusted returns. The market timing skills of ETF managers are examined too. The results reveal that, on average, the examined ETFs do not produce any material alpha. The results also indicate that the risk factors suggested by Fama and French (1993 & 2015) are more or less capable of explaining the performance of the Japanese ETFs. Finally, the findings show that 21% of ETF managers possess some sort of market timing skills. However, the managers fail to time the volatility of the stock market.

Keywords: ETFs; Performance; Japanese Stock Markets; Market Timing (search for similar items in EconPapers)
Date: 2024
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