펀드 특성과 성과에 관한 실증연구
The Relationship between Fund Characteristics and Performance
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초록
본 연구는 국내 주식형 공모펀드 시장에서 펀드의 규모와 성과 사이에 어떤 관계가 존재하는지에 대해 알아본다. 또한 Fama and French(1992, 1993)의 3요인 모형을 사용하여 기업의 규모요인(SMB)과 가치요인(HML)을 고려하였을 때 펀드의 유형과 성과 사이에 어떤 관계가 존재하는지에 대해서도 조사하였다. 실증분석 결과, 첫째, 국내 주식형 공모펀드 시장에서 펀드의 규모가 성과에 유의한 영향을 미치지않는 것으로 나타났다. 둘째, 규모요인과 가치요인은 펀드의 성과에 영향을 미치지 않는 것을 확인하였다. 셋째, 펀드의 성과는 펀드규모가 아닌 유형에 영향을 받는 것을 알 수 있었다. 넷째, 펀드 연령이나 현금흐름, 자산규모 등의 특성은 펀드의 성과와 관계가 없는 것으로 나타났다.
Abstract
The relationship between fund size and performance starts to gain attention as researchers realize that large funds show good performance in bull markets. Funds tend to grow in size after they perform well, because investors make their decisions based on past performance. There is a possibility,therefore, that a positive relationship exists between fund size and performance. However, fund size might also negatively affect fund performance because of transaction costs and operation risk. Motivated by these possibilities, this study examines how fund size and other fund characteristics affect future performance in the Korean equity fund market. We examine the monthly data of open-end equity funds from January 2001 to August 2007. First, we investigate the relationship between fund size and performance. We sort all funds with available data into a quintile based on their size; then we use the CAPM model to calculate the excess return of each quintile. Next, we test the relationship between fund style and performance, using Fama and French’s (1992, 1993) 3-factor model. We adopt Fama-French’s factors of SMB (small-cap portfolio minus big-cap portfolio) and HML (high book-to-market value portfolio minus low book-to-market value portfolio) to investigate whether fund portfolios are biased toward some particular type of stock (e.g., small-cap, big-cap, and high-value). In addition, we examine whether the investment style affects fund performance by categorizing funds as stable, growth, and high-growth ones, and then we compare their performance. The relationship between performance and other fund characteristics, such as fund age, cash flow, and asset amount is analyzed. Following Warther (1995,1998), we define cash flow as the amount of cash flow during the last three months. The results of the empirical analysis are as follows: First, fund size does not affect performance in the Korean equity fund market. This implies that fund managers are capable enough to manage large portfolios without showing a decrease in performance. Second, Fama-French’s SMB and HML factors do not affect performance. This shows that fund portfolios are not biased toward some particular type of stock. Third, fund performance depends on its style. We found that aggressive funds that invest primarily in stocks overperform the market. Finally, fund characteristics, such as fund age, cash flow and asset amount, do not have a significant relationship with performance.
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