Earticle

초록

영어

Whether fund managers exhibit superior performance has drawn much attention among academics and practitioners. Since Jensen proposed an evaluation method based on the market model in 1968, many empirical studies have been trying to identify market timing and stock selection abilities for mutual fund managers. The early studies employing return-based timing measures for their tests generally show evidence of little or no market timing ability and somewhat positive stock picking ability for mutual fund managers in the U.S., UK, Australia, and others. In contrast, more recent studies utilizing holdings-based measures, most notably the Jiang, Yao, and Yu (2007, JYY) study, suggest that US mutual fund managers have strong positive market timing ability. In this paper, we investigate whether Korean fund managers have market timing and stock selection skills for the 11/ 2001 – 12/2007 period. This study is the first comprehensive study on the performance evaluation of Korean fund managers, as it deals with a most complete sample of fund holdings compiled to date, and as it uses holdings-based tests as well as return-based tests as JYY does. Our empirical results support that on average, actively managed Korean fund managers have positive market timing and stock selection abilities. In addition, we find that stock selection ability is affected by market timing ability over time and that market timers tend to tilt toward small fund size, low turnover, high industry concentration, and large capital stocks and that equity funds use private information to predict market returns.

목차

Abstract
 1. Introduction
 2. Measures of market timing and stock selectivity
  2.1 Return-based measures
  2.2 Holdings-based measures
 3. Data and empirical results
  3.1. Data and summary statistics
  3.2 Empirical results with return-based measures
  3.3 Empirical results with holdings-based measures
 4. Some additional tests: behavioral characteristics of market timers and stock pickers
  4.1 Characteristics of market timers
  4.2 Relation between public information and market timing
  4.3 Market timing and stock selection across market conditions
 5. Conclusion
 References
 Table

키워드

저자

• Yun, Young Sup [ Korea University ]
• Son, Pan Do [ Korea University ]
• Kim, Sung Shin [ Korea University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330