Earticle

초록

영어

This paper examines whether focused funds offer superior performance in Korean actively managed equity funds which are not subject to survivorship bias over November 2001 to December 2008. On the one hand, due to information advantages, fund manager may decide to allocate their fund to specific industry and security focally, which means concentrating their holdings in few industry and focusing on a small number of securities to produce superior performance. On the other hand, Due to a convex option-like payoff, liquidity, idiosyncratic risk and trading behavior, focused funds could not outperform diversified funds. Our paper finds no evidence that focused funds outperform diversified funds significantly. Even controlling for various funds characteristic, and using several alternative concentrate measures and also performance measures, fund performance is positively related to the degree of diversification. In further securitizing primary sources in details, we identify the several evidences as underperformance causation of focused funds that the linkage of focused fund underperformance to liquidity problem, idiosyncratic risk, and trade performance could be possibilities. Hence our results do not support the view that manager with focused funds have superior stock selection ability and in turns focused funds provide more value to fund investors. Our findings have an important investor strategy meaning in that it provides valuable ways of money management to money managers in fund industry.

목차

Abstract
 1. Introduction
 2. Related Literature
 3. Performance Measures
 4. Portfolio Concentration Measures
 5. Data and sample statistics
 6. Determinants of portfolio concentration
 7. Empirical results
  7.1 Portfolio result
  7.2 Regression result
  7.3 Why focused funds underperform diversified funds?
 8. Robustness Check
 9. Concluding Remarks
 References

키워드

저자

• Sohn, Pando [ Dong-A University ]
• Kim, Sungsin [ Korea University ]
• Yeom, Dongcheol [ Dong-A University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330