An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance
Publisher : Korea Insurance Research Institute
Research Area : Business Management
-
This study provides a comprehensive examination on recent fund performance by analyzing a large set of both mutual funds and fund attributes in Korea. Numerous variables are considered from a list of explanatory variables used in previous studies that link performance to firm-specific characteristics. The samples of the study are collected after adjustment of survivorship bias. A modified Jensen's alpha for a fund is estimated from the Fama-French 3 factor model to be used as dependent variables. The full model for regression comprises a base model and an extended model. The former accounts for general market conditions and fund investment objective, while the latter considers 16 individual factors and characteristics variables that impact fund performance in addition to a persistence variable. The study shows mixed results for the hypothesized relationship between performance and the explanatory variables. On one hand, the variables for total fund assets, fund flow and age of fund are positively related to fund performance. On the other hand, the variables for net asset value, relative holding and PER are negatively related to fund performance. The rest of independent variables such as market capitalization, number of holdings, relative NAV, expense ratio and management fee ratio have no significant effects on fund performance. Finally, after controlling for fund-specific factors as well as economy-wide factors, the results refute the performance persistence phenomenon.
-
[journal] 김홍배 / 2007 / Performance Persistence of Equity Funds / 산업경제연구 / 한국산업경제학회 20 (3) : 1007~1025
[journal] 민성기 / 2007 / The Performance Persistence of Mutual Funds in Korea / 대한경영학회지 / 대한경영학회 20 (3) : 1413~1431
[journal] 박범진 / 2007 / The Determination Factors of Mutual Fund Return / 재무관리연구 / 한국재무관리학회 24 (1) : 85~107
[journal] 박영규 / 2005 / A Study On the Behavior of Fund Investors and Fund Managers / 재무연구 / 한국재무학회 18 (1) : 31~67
[journal] 박영규 / 2001 / 국내 주식형펀드시장에 대한 성과평가연구 / 한국증권학회지 / 한국증권학회 29 (1) : 117~143
[journal] 신성환 / 2003 / A Study on Outsourcing in Korean Stock and Bond Fund Markets / Asia-Pacific Journal of Financial Studies / 한국증권학회 32 (3) : 165~190
[journal] 유시용 / 2010 / The Disposition Effect to Fund Flow and Performance in the Korean mutual fund marketplace / 대한경영학회지 / 대한경영학회 23 (2) : 853~872
[journal] 이원흠 / 2000 / 주식형펀드의 스타일 분석과 운용능력분석 / 재무연구 / 한국재무학회 26 (1) : 65~90
[journal] Almazan, A / 2004 / Why constrain your mutual fund manager / Journal of Financial Economics 73 : 289~321
[journal] Blake, Christopher R / 1993 / The Performance of Bond Mutual Funds / Journal of Business
[journal] Brown, Stephen J / 1992 / Survivorship Bias in Performance Studies / Review of Financial Studies
[journal] Carhart, M / 1997 / On Persistence in Mutual Fund Performance / Journal of Finance 52 : 57~82
[journal] Chan, L / 2002 / On mutual fund investment styles / Review of Financial Studies 15 : 1407~1437
[journal] Chen, J / 2004 / Does fund size erode performance? Liquidity, organizational diseconomies and active money management / American Economic Review
[journal] Chevalier, J / 1997 / Risk taking by mutual funds as response to incentives / Journal of Political Economy 106 : 1168~1200
[journal] Daniel, K / 1997 / Measuring mutual fund performance with characteristics-based benchmarks / Journal of Finance 52 (3) : 1035~1058
[journal] Dellva, Wilfred L / 1998 / The Relationship between Mutual Fund Fees and Expenses and Their Effects on Performance / The Financial Review
[journal] Detzel, L / 1998 / Explaining persistence in mutual fund performance / Financial Services Review 7 (1) : 45~55
[journal] Droms, W / 1996 / Mutual fund investment performance / Quarterly Review of Economcis and Finance 36 (3) : 347~363
[journal] Edelen, R. M / 1999 / Investor flows and the assessed performance of open-end mutual funds / Journal of Financial Economics
[journal] Elton, Edwin J / 1996 / The Persistence of Risk-Adjusted Mutual Fund Performance / Journal of Business
[journal] Elton, E / 2004 / Are investors rational? Choices among index funds / Journal of Finance 59 : 261~288
[journal] Goetzmann, W / 1997 / Cognitive dissonance and mutual fund investors / Journal of Financial Research 20 (2) : 145~158
[journal] Golec, J / 1996 / The effects of fund managers’ characteristics on their portfolio performance, risk, and fees / Financial Services Review 5 : 133~148
[journal] Grinblatt, M / 1989 / Mutual fund performance: An analysis of quarterly portfolio holdings / Journal of Business 62 : 393~416
[journal] Grinblatt, M / 1989 / Portfolio performance evaluation: old issues and new insights / Review of Financial Studies
[journal] Grinblatt, M / 1993 / Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns / Journal of Business
[journal] Grinblatt, M / 1994 / A study of monthly mutual fund returns and performance evaluation techniques / Journal of Financial and Quantitative Analysis 29 : 419~444
[journal] Grinblatt, Mark / 1995 / Momentum Investment Strategies, Portfolio Performance, and Herding: A study of Mutual Fund Behavior / American Economic Review
[journal] Gruber, M / 1996 / Another puzzle: The growth in actively managed mutual fund / Journal of Finance 51 : 783~810
[journal] Hooks, J / 1996 / The effect of loads and expenses on open-end mutual fund returns / Journal of Business Research 36 (2) : 199~202
[journal] Ippolito, R / 1989 / Efficiency with costly information: A study of mutual fund performance, 1965-84 / Quarterly Journal of Economics 104 : 1~23
[journal] Jagadeesh, N / 1993 / Returns to buying winners and selling losers: Implications for stock market efficiency / Journal of Finance 48 : 65~91
[journal] Kempf, A / 2009 / Employment risk, compensation incentives, and managerial risk taking / Journal of Financial Economics 92 : 92~108
[journal] Keswani, A / 2008 / Which money is smart? Mutual fund buys and sells of individual and institutional investors / Journal of Finance 63 : 85~118
[journal] Lehman / 1987 / Mutual fund performance evaluation: A comparison of benshmarks and benchmark comparisons / Journal of Finance 42 : 233~265
[journal] Lynch, Anthony W / 2000 / How Investors Interpret Past Fund Returns
[journal] Malkiel, B / 1995 / Returns from investing in equity mutual funds 1971-1991 / Journal of Finance 50 : 549~572
[journal] Prather, L / 2004 / Mutual fund characteristics, managerial attributes, and fund performance / Review of Financial Economics 13 : 305~326
[journal] Sapp, T / 2004 / Does stock return momentum explain the “smart money” effect / Journal of Finance 59 : 2605~2622
[journal] Sharpe, W / 1966 / Mutual fund performance / Journal of Business 39 : 119~138
[journal] Sirri, E / 1998 / Costly search and mutual fund Flows / Journal of Finance 53 : 1589~1622
[journal] Treynor, J / 1965 / How to rate management of investment funds / Harvard Business Review : 63~75
[journal] Wermers, R / 2000 / Mutual fund performance: An empirical decomposition into stock-pricing talent, style, transaction costs, and expenses / Journal of Finance 55 : 1655~1695
[journal] Zheng, L / 1999 / Is money smart? A study of mutual fund investors' fund selection ability / Journal of Finance 54 : 901~933
-
172
Viewed
Print this page
Download PDF