Earticle

초록

영어

As fund markets have experienced a tremendous growth internationally, a lot of studies on the performance of funds have been conducted in recent years. At the same time, academic interest to investigate the impact of managerial skills on a fund’s performance has also grown. However, due to the short history and the lack of data on the Korean fund market, only a few studies have actually been conducted on the performance of the Korean active fund market. In this study, therefore, we analyze whether and to what extent the performance of Korean funds is influenced by the skill of managers or simply by luck. For this investigation, the bootstrap simulation method is applied. Previous studies traditionally use the persistence test to find out whether the performance of a fund is based on a manager’s skill. These studies test whether a past winner continues to show good performance. Since this performance test is based on the short-term performance of funds, we cannot rule out the possibility of the intervention of noise. To solve this problem, recent studies, such as Kosowski, Timmermann, Wermers, and White (2006) and Fama and French (2010) use the bootstrap simulation. Thus, we have decided to apply this methodology to the active fund market in Korea. A simulation run produces a random sample within the period of 95 months, from February 2001 to December 2008. We examine 3,000 simulation runs. Using this method, we derive a distribution of excess returns of funds compared to a return of a benchmark portfolio under the assumption that managers are unskilled. Comparing the distribution from the simulation and the real distribution of excess returns of funds, we are able to estimate if real excess returns are extreme cases under the simulation distribution. In addition, we divide our sample into two groups : one group of funds in the early 2000s and the other group of funds in the late 2000s. We also subdivided the sample into two groups as long- and short-term groups funds that have existed for 5 or more years and those that have existed for less than 1 year, respectively. Fund groups are also sorted out according to the size. In fact, the sample funds are ranked based on their size: if a fund’s size is below the median value, the fund is included in the small-size group while the rest is included in the large-size group. While most previous studies have focused on the fund performance itself or the characteristics affecting the performance, our study aims to investigate the impact of fund managers’ skills on the fund performance in the Korean active fund market. As far as we are aware, our study is the first study of its kind to ever show also the effect of the herding phenomenon among managers on the possibility of the linkage of fund performance and the skill of managers. Furthermore, we use the methodology that can reduce biases such as survivorship bias and incubation bias, which could appear in the examination of funds. Our major findings are as follows. First, real excess returns exist in a narrow range as compared to the simulation distribution of excess returns, which are derived under the assumption of unskilled managers. This finding suggests that Korean fund managers possess even levels of fund managing skills, neither too superior nor too inferior compared to one another. Second, fund performance is more highly influenced by managers’ skill among the funds that belong to the late 2000s group than those of the early 2000s group. This finding suggests that the fund managers’ skill has improved over the years. Third, the performance of funds is more likely to be affected by managers’ skill in the long-term fund group than in the short-term fund group. This finding implies that fund managers’skill is more likely to affect the performance of funds that are running on a long-term basis. Fourth, the performance of funds based on managers’ skill seems similar between a small-size group and a large-size group. At this point, it is important to observe a notable feature of Korea’s fund market that is an extremely narrow range of the distribution of real excess returns especially compared to that of the corresponding U.S. market. To identify some potential causes of this difference, we investigate whether the herding phenomenon can be found among fund managers. If managers copy one another in making investment decisions regardless of their access to private information, indeed, the performance among funds is highly likely to be similar. For this investigation, we apply the LSV herding measure developed by Lakonishok, Shleifer, and Vishny (1992). Using this measure, we find that managers in the Korean active fund market herd one another more strongly than in the U.S fund market. We also find that when mangers herd severely, then the effect of managers’ skill on the performance of funds is expectedly very limited. This finding suggests that the stronger the herding phenomenon is, the less relevant the skill of fund managers is in the fund performance.

한국어

본 연구는 국내 능동적 펀드의 운용 성과가 운에 기인하는지 매니저의 능력에 기인하 는지를 분석하고, 매니저의 운용 능력이 펀드의 성과로 적절히 반영되는 데에 있어서 군집 행동이 어떠한 영향을 미치는지를 분석하였다. 이를 위하여 부트스트랩 시뮬레 이션 방법을 이용하여 매니저가 운용 능력을 보유하고 있지 않다는 가정 하에서 펀드 의 벤치마크 포트폴리오 수익률 대비 초과 성과 분포를 도출하고 이를 펀드의 벤치마 크 포트폴리오 수익률 대비 실제 초과 성과 분포와 비교함으로써 실제 초과 성과가 시뮬레이션 분포 하에서 도출되기 어려운 값인지 여부를 측정하였다. 실증분석 결과, 국내 능동적 펀드의 실제 초과 성과 분포는 매니저의 능력이 존재하지 않는다는 가정 하에서의 초과 성과의 시뮬레이션 분포보다 매우 좁은 범위 내에 분포하고 있었다. 이는 국내 능동적 펀드의 성과를 통하여 분석하여 볼 때, 국내 능동적 펀드 매니저들 중 탁월한 능력을 보유한 매니저가 비정상적인 수준으로 존재하지 않는 것을 의미한 다. 또한, Lakonishok, Shleifer, and Vishny(1992)가 개발한 LSV 측정치를 이용하 여 펀드 매니저들 사이에 존재하는 군집 행동 양상을 분석한 결과, 국내 능동적 펀드 를 운용하는 펀드 매니저들의 군집 행동의 정도가 매우 심한 것으로 드러났다. 특히, 군집 행동이 심할수록 능동적 펀드 매니저의 운용 능력이 펀드의 성과에 적절하게 반 영되는 것이 저해되는 것이 확인되었다.

목차

요약
 Abstract
 Ⅰ. 서론
 Ⅱ. 연구방법론
  1. 벤치마크 모형
  2. 부트스트랩 시뮬레이션
  3. LSV 모형
 Ⅲ. 분석자료
 Ⅳ. 실증분석
  1. 국내 능동적 펀드 시장의 성과 분석
  2. 국내 능동적 펀드매니저의 운용 능력
  3. 국내 능동적 펀드매니저의 군집 행동
 Ⅴ. 결론
 참고문헌

키워드

저자

• 최혁 [ Hyuk Choe | 서울대학교 경영대학 교수 ] 교신저자
• 김지현 [ Jee-Hyun Kim | 서울대학교 경영대학 박사과정 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330