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우리나라 주식형 펀드의 투자성과 평가

Performance Evaluation of Equity Funds in Korea

조성빈|신인석
한국개발연구원 (Korea Development Institute)|2010.03|KDI Journal of Economic Policy|제32권 제1호|pp. 97-129|DOI 10.23895/kdijep.2010.32.1.97

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참고문헌

키워드

효율적 시장가설펀드성과Efficient Market HypothesisMarket Timing마켓타이밍Fund Performance
주제분류경제학

초록

본고에서는 2002년 1월에서 2008년 12월까지 존재한 국내 주식형 펀드를 대상으로 하여 투자성과를 평가하고 마켓타이밍 능력의 존재 여부를 검토하였다. 주요 분석 결과는 다음과 같다. 첫째, 모든 투자비용을 공제한 순수익률 기준 펀드의 초과성과는 0과 다르지 않았다. 둘째, 투자비용이 공제되기 이전 총수익률 기준 펀드의 초과성과는 통계적으로 유의하게 0을 상회하였다. 특히, 보수수준과 초과성과 간에는 양의 상관관계가 있는 것으로 나타났다. 셋째, 보수수준이 높은 그룹에서 발견된 양의 초과성과를 마켓타이밍 능력과 주식선별능력으로 구분하는 추정을 실시하였으나, 추정 결과는 일의적인 해석이 곤란하였다. 분석 결과는 일단 Grossman and Stiglitz(1980)가 상정한 정보비용이 존재하는 효율적 시장가설과 일치한다. 그러나 보수가 높은 펀드의 초과성과 창출요인이 밝혀지지 않았으므로 이 해석의 타당성에 대한 결론적 언명은 추가 연구를 필요로 한다.

Abstract

We examine performance of actively managed equity funds in Korea for the period from 2002 to 2008 and investigate if fund managers have market timing abilities. We obtain the following findings: (1) average performance of funds evaluated at net return basis(net of expenses) is statistically indistinguishable from zero; (2) average performance of funds evaluated at gross return basis(before netting expenses) exceeds benchmark market returns significantly. More importantly, when funds are grouped by their size of expenses, higher performance is matched with larger expense; (3) the regression results for decomposing positive excessive returns of large-expense funds between market timing and stock selection ability are mixed. The first two findings of the paper are consistent with the Efficient Market Hypothesis a lá Grossman and Stiglitz(1980). Concluding remarks, however, need to be reserved since sources of excessive performance of funds with large expenses are yet to be clarified.

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관련 논문AI추천

주식형 펀드의 성과 지속성에 관한 연구: 종목 선택 및 매매 시점 능력고광수, 백미연, 왕아평, 하연정한국산업경영학회 · 경영연구2010 · 제25권 제1호국내 주식형 펀드의 수익률 타이밍과 변동성 타이밍 능력에 대한 연구김상배, 정태훈한국은행 · 경제분석2010 · 제16권 제2호국내 주식형 펀드의 타이밍 능력은 존재하는가?김상배, 박종구한국재무관리학회 · 재무관리연구2009 · 제26권 제2호운용 및 판매 보수와 주식형 펀드의 성과고광수한국재무관리학회 · 재무관리연구2014 · 제31권 제4호확률할인요소 및 가상펀드를 이용한 주식형 펀드의 성과 평가김봉준, 조재호한국재무관리학회 · 재무관리연구2010 · 제27권 제3호액티브펀드의 성과와 종목선택능력에 대한 연구고봉찬, 김진우한국재무관리학회 · 재무관리연구2011 · 제28권 제4호

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