2016, Vol.4, No.2

Asset Management Review 2023 KCI Impact Factor : 0.55

pISSN : 2288-6672 / eISSN : 2713-6248
https://journal.kci.go.kr/capm

This study examines whether IPO funds in the Korean fund market provide differentiated economic benefits. Specifically, in the perspective of investors, we attempt to investigate economic benefits of IPO funds in following three aspects: (1) whether to extend investment opportunities set; (2) outperformance relative to market and peer funds; and (3) the persistence of performance. Our findings are as follows. First, in mean-variance spanning tests, we find that while IPO funds cannot extend an investor’s investment opportunities set. Second, we find that IPO funds have no outperformance over market and peer funds. Lastly, our results show that IPO funds have negative performance persistence.

This paper examines whether active share as defined by Cremers and Petajisto (2009) is related to fund managers’ characteristics and whether more actively managed funds generate higher risk-adjusted performance. Using active stock funds in Korea from 2008 to 2015 as a sample, we perform empirical tests. We find that small- and medium-size funds with high active share exhibit significantly positive abnormal performance. In the group of large-size funds, we find no significant relation between active share and fund performance. In addition, we do not find any significant relation between fund managers’ characteristics and active share. What emerges from our empirical investigation is an inverted U shape relation between active share and fund size. This finding implies that active share increases with fund size until a fund reaches a certain level of size in assets under management and then it decreases beyond that size level. We note that the inverted U shape relation is not present among funds with lowest levels of active share. Overall, our results imply that managers in small- and medium-size active stock funds in Korea can pursue better performance by increasing active share but that such a strategy may not work when the size of the fund reaches a level tantamount to large- fund group.

This study performed an empirical analysis using cumulative average return (CAR) using Fama-French three-factor model to see the stock market reaction when short-term overheated stock is publicly announced in domestic stock market because of rapid stock price rise in a short term. Study results show that as the public announcement date was getting nearer, CAR rose higher, and it dropped a bit and became stabilized after public announcement. It was confirmed that short-term overheated stock designation public announcement is a post countermeasure put in action after the stock price has dramatically risen. As the stock price became stabilized after designation public announcement, the effects of public announcement was confirmed. As it was getting nearer to clearance public announcement, Average Abnormal Return (AAR) has dropped a bit and AAR continues decreasing after the clearance announcement, which confirmed effects of clearance public announcement. When a portfolio of the companies which were designated as short-term overheated stock from –20 days to +20s and Jensen's alpha was identified through regression analysis, KOSDAQ showed the highest value followed by overall and then KOPSPI. It was also identified that scale factor was a significant variable in overall market and KOSPI and value factor was a significant variable in KOSPI.