Open Access Journal Article

A Study on the Performance of Japanese ETFs

by Gerasimos G. Rompotis a,*
a
University of Athens MBA, National and Kapodistrian University of Athens, Athens, Greece
*
Author to whom correspondence should be addressed.
EAL  2024 3(3):64; https://doi.org/10.58567/eal03030005
Received: 11 April 2024 / Accepted: 16 September 2024 / Published Online: 12 November 2024
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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;
Copyright: © 2024 by Rompotis. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.

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ACS Style
Rompotis, G. G. A Study on the Performance of Japanese ETFs. Economic Analysis Letters, 2024, 3, 64. https://doi.org/10.58567/eal03030005
AMA Style
Rompotis G G. A Study on the Performance of Japanese ETFs. Economic Analysis Letters; 2024, 3(3):64. https://doi.org/10.58567/eal03030005
Chicago/Turabian Style
Rompotis, Gerasimos G. 2024. "A Study on the Performance of Japanese ETFs" Economic Analysis Letters 3, no.3:64. https://doi.org/10.58567/eal03030005
APA style
Rompotis, G. G. (2024). A Study on the Performance of Japanese ETFs. Economic Analysis Letters, 3(3), 64. https://doi.org/10.58567/eal03030005

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