주식형 펀드의 자금흐름과 포트폴리오 매매
Investor Flows and Portfolio Trading of Equity Funds
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본 논문은 주식형 펀드의 자료를 이용하여 자금흐름과 매매거래의 관계를 분석하고 매매거래와 펀드성과와의 연관성을 살펴보았다. 분석결과 자금유입에 대한 매수거래의 연관성은 0.626, 자금유출에 대한 매도거래의 연관성은 0.726으로 추정되었으며, 자금흐름의 변동성이 높을수록 자금유출입과 매수․매도거래의 관계가 높아지는 것으로 확인되었다. 또한 파생상품의 이용은 자금유출에 따른 매도거래의 규모를 감소시키고, 펀드 설정 초기에 포트폴리오 구성과 관련하여 펀드 자산의 매매가 활발하게 나타났다. 자금유출입에 따른 매매거래가 펀드성과를 저해하지 않으며, 동시에 펀드매니저의 마켓타이밍 능력이 자금흐름에 의해 저해되지 않음을 확인할 수 있었다.
Abstract
This paper investigates the relations between equity fund portfolio trading and investor flow in and out of the funds and estimates indirect cost due to forced trading induced by fund flows. The trading response (portfolio purchases) to inflows is estimated to be 0.626, and the trading response (portfolio sales) to outflows is 0.726. and these relations are more prevalent with higher volatility in fund flows. In addition, the paper finds that the use of derivative lowers the trading response to outflows and that young funds are more sensitive to fund flows. With regard to fund performance, there is no indirect cost in the form of a negative relation between fund performance and investor flow. Neither is there any evidence for the deterioration of market timing ability of the fund managers due to flow-induced trading.
참고문헌 (24)
- 신인석, "우리나라 주식형 펀드의 투자성과 평가", 한국개발연구, 32(1), pp.97~129 (2010), 한국개발연구원
- 원승연, "펀드 판매사의 역할과 판매 보수의 적정성：한국의 주식형 펀드를 대상으로", 재무관리연구, 26(1), pp.31~64 (2009), 한국재무관리학회
- 원승연, "펀드의 거래비용과 운용성과", 한국경제의 분석, 17(2), pp.179~232 (2011), 한국경제의 분석패널
- 조성빈, "소프트달러와 주식형 펀드의 이해상충", 한국개발연구, 35(2), pp.133~167 (2013), 한국개발연구원
- 조성빈, "주식형 펀드의 위탁매매비용", 금융연구, 28(1), pp.99~133 (2014), 한국금융학회
- 조성빈, "판매보수의 펀드투자자금과 투자성과에 대한 영향", 금융연구, 26(1), pp.75~105 (2012), 한국금융학회
- Alexander, G. J., "Does trade motivation matter? An analysis of mutual fund trades", Review of Financial Studies, 20, pp.125~150 (2007)
- Anand, A., "Performance of Institutional Trading Desks : An Analysis of Persistence in Trading Costs", Review of Financial Studies, 25, pp.557~598 (2012)
- Carhart, M. M., "On The Persistence of Mutual Fund Performance", Journal of Finance, 52(1), pp.57~82 (1997)
- Chen, J., "Does Fund Size Erode Performance? The Role of Liquidity, Organization", American Economic Review, 94(5), pp.1276~1302 (2004)
- Dubofsky, D. A., "Mutual fund portfolio trading and investor flow", Journal of Banking & Finance, 34, pp.802~812 (2010)
- Edelen, R. M., "Investor Flows and The Assessed Performance of Open-end Mutual Funds", Journal of Financial Economics, 53(3), pp.439~466 (1999)
- Edelen, R. M., "Shedding Light on"Invisible"Costs : Trading Costs and Mutual Fund Performance", Financial Analyst Journal, 69, pp.33~44 (2013)
- Fama, E. F., "Risk, return, and equilibrium : Empirical tests", Journal of Political Economy, 81, pp.607~636 (1973)
- Ferson, W. E., "Measuring Fund Strategy and Performance in Changing Economic Conditions", Journal of Finance, 51(2), pp.425~461 (1996)
- Frino, A., "Derivative use, fund flows and investment manager performance", Journal of Banking & Finance, 33, pp.925~933 (2009)
- Goldstein, M. A., "Brokerage Commissions and Institutional Trading Patterns", Review of Financial Studies, 22, pp.5175~5212 (2009)
- Grinblatt, M., "Mutual Fund Performance : An Analysis of Quarterly Portfolio Holdings", Journal of Business, 62, pp.393~416 (1989)
- Henriksson, R., "On Market Timing and Investment Performance II : Statistical Procedures for Evaluating Forecasting Skills", Journal of Business, 54(4), pp.513~533 (1981)
- Jensen, M. C., "The Performance of Mutual Funds in The Period 1945-1964", Journal of Finance, 23(2), pp.389~416 (1968)
- Koski, J., "How are derivatives used? Evidence from the mutual fund industry", Journal of Finance, 54, pp.791~816 (1999)
- Newey, W. K., "A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix", Econometrica, 55, pp.703~708 (1987)
- Petersen, M. A., "Estimating Standard Errors in Finance Panel Data Sets : Comparing Approaches", Review of Financial Studies, 22, pp.435~480 (2009)
- Treynor, J. L., "Can Mutual Funds Outguess The Market", Harvard Business Review, 44(4), pp.131~136 (1966)