# **Table 10**

# **Turnover Statistics on Asset Class Fixed Effects**

This table presents the results of the regression of turnover statistics at the PFA-time-fund-type-asset-class level on PFA, time, fund type, and asset class fixed effects. The table only displays the overall mean and the zero-mean fixed effects for each asset class. The Grinblatt et al. (1995) and the Ferson and Khang (2002) turnover measures are calculated using weights with contemporaneous price. Two alternative measures are presented, using overall weights or weights within asset class, alternatively. Standard errors are presented in parentheses. T-tests are two-tailed. One asterisk indicates statistical significance at the ten-percent level and two asterisks indicate statistical significance at the five-percent level. Panel A considers the entire sample period (July 1996 to December 2005) and Panel B only considers the multi-fund period (September 2002 to December 2005), starting six months after it was implemented to avoid distortions. Numbers represent percentages (results are multiplied by 100).

**Panel A. Turnover Statistics on Asset-Class Fixed Effects (1996-2005)**

||_Using Ov_|_erall Weights_|_Using Within-_|_Asset-Class Weights_|
|---|---|---|---|---|
||Grinblatt et al.|Ferson and Khang|Grinblatt et al.|Ferson and Khang|
||(1)|(2)|(3)|(4)|
|**Overall Mean**|1.29**|1.23**|12.66**|11.78**|
||(0.04)|(0.04)|(0.28)|(0.28)|
|**Domestic Assets**|||||
|Former Pension System Bonds|-0.27**|-0.21**|-3.58**|-2.83**|
||(0.04)|(0.04)|(0.30)|(0.31)|
|Corporate Bonds|-0.52**|-0.49**|-5.24**|-4.99**|
||(0.02)|(0.02)|(0.24)|(0.25)|
|Financial Institutions|0.34**|0.38**|0.55**|1.40**|
||(0.05)|(0.05)|(0.26)|(0.26)|
|Government Paper|2.14**|2.06**|0.34**|0.82**|
||(0.14)|(0.14)|(0.32)|(0.33)|
|Investment and Mutual Funds|-0.46**|-0.41**|-6.59**|-6.22**|
||(0.01)|(0.01)|(0.25)|(0.24)|
|Equity|0.33**|0.15**|-5.20**|-5.34**|
||(0.02)|(0.02)|(0.23)|(0.23)|
|Mortgage Bonds|-0.06**|-0.06**|-4.46**|-3.97**|
||(0.04)|(0.04)|(0.29)|(0.30)|
|**Foreign Assets**|||||
|Fixed|-0.41**|-0.39**|4.80**|4.68**|
||(0.02)|(0.02)|(0.55)|(0.52)|
|Investment and Mutual Funds|1.07**|1.01**|0.40**|0.73**|
||(0.04)|(0.04)|(0.29)|(0.29)|
|Equity|-0.57**|-0.52**|-2.68**|-2.36**|
||(0.04)|(0.04)|(0.80)|(0.79)|

**Panel B. Turnover Statistics on Asset-Class Fixed Effects (2003-2005)**

||_Using Ov_|_erall Weights_|_Using Within-_|_Asset-Class Weights_|
|---|---|---|---|---|
||Grinblatt et al.|Ferson and Khang|Grinblatt et al.|Ferson and Khang|
||(1)|(2)|(3)|(4)|
|**Overall Mean**|0.68**<br>(0.01)|0.61**<br>(0.01)|10.34**<br>(0.20)|9.60**<br>(0.20)|
|**Domestic Assets**|||||
|Former Pension System Bonds|-0.40**|-0.34**|-5.19**|-4.51**|
||(0.01)|(0.01)|(0.30)|(0.30)|
|Corporate Bonds|-0.35**|-0.33**|-5.39**|-4.97**|
||(0.01)|(0.01)|(0.26)|(0.27)|
|Financial Institutions|0.62**|0.65**|-0.21**|0.58**|
||(0.03)|(0.03)|(0.30)|(0.30)|
|Government Paper|1.07**|1.01**|0.56**|0.98**|
||(0.07)|(0.07)|(0.42)|(0.43)|
|Investment and Mutual Funds|-0.47**|-0.42**|-6.43**|-6.10**|
||(0.01)|(0.01)|(0.33)|(0.33)|
|Equity|0.28**|0.12**|-5.90**|-6.24**|
||(0.02)|(0.03)|(0.28)|(0.28)|
|Mortgage Bonds|-0.30**|-0.29**|-5.61**|-5.17**|
||(0.01)|(0.01)|(0.28)|(0.28)|
|**Foreign Assets**|||||
|Fixed|-0.25**|-0.22**|6.14**|5.93**|
||(0.02)|(0.02)|(0.72)|(0.69)|
|Investment and Mutual Funds|1.56**|1.47**|-2.28**|-1.87**|
||(0.05)|(0.05)|(0.28)|(0.28)|
|Equity|-0.56**|-0.50**|-4.81**|-4.38**|
||(0.02)|(0.02)|(0.76)|(0.77)|