2017, Vol.5, No.2

Asset Management Review 2023 KCI Impact Factor : 0.55

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

This research investigate the validity of the quantitative and qualitative measures to select the outsourced fund management companies for the Korea National Pension Fund (NPF). For this purpose we analyze the past scores of the each outsourced fund management companies and their ex-post performance. The research results are as follows. First, we found neither qualitative nor quantitative measures cannot predict the future performance of the outsourced fund management companies. Second, it seems that management company stability and human resource power are the measures favorably biased toward larger fund management companies and need to be corrected. Third, we found that fund companies which receive more capital reallocation perform worse whereas the fund companies which return part of their original capital perform better. Therefore, we recommend NPS be more conservative to provide additional capital to a better performing fund management companies, but more positive to withdraw the capital from poorly performing fund management companies.

Korean hedge funds are institutionalized active investment strategies formed by the registered special private collective investment vehicles managed by Korean fund managers with leverage allowed up to 400% of the net asset value. Since the very first Korean equity hedge fund was launched on December 28, 2011, there are 549 different funds with varying strategies and aggregate assets under management at KRW11.5 trillion, equivalent to USD10 billion, as of July 24, 2017. Many hedge fund managers believe they are skilled at stock picking and market timing. If an active hedge fund manager is skilled in style timing, it makes sense to be particularly active in the volatile phase of the specific style factor, as the phase offers a largest risk-adjusted reward to the skill. We have investigated risk factor exposures such as size, value, and momentum in 25 survivorship bias-free individual equity hedge funds with net asset value aboveKRW50 billion out of the 549 universe to reclassify them according to their systematic style-tilting volatility, volatility-timing, and Treynor and Mazuy (1966) market timing indicators. To the best of the authors’ knowledge, it is the first research of hedge fund strategies to use daily net asset value data of individual hedge funds. We then evaluated the relationship between the three market-timing indicators to the annual excess returns of reclassified quintile hedge fund groups to identify the truly talented active style and volatility timers. Identification of the talented market and volatility timer a priori will enhance the investors’ expected risk-adjusted returns in the fund of hedge funds design and investment.

This paper investigates whether the information in internet stock message boards can influence stock prices. Using the SVM(Support Vector Machine), which is one of artificial intelligent algorithm methodologies, we collect 7,054,316 messages posted on the three major internet stock message boards- Never, Daum, and Paxnet- for the period from September 2013 to June 2015. The total number of posting reads (hits) is 1,662,840,007. The major findings of this paper are as follows. First, we find significant evidence that the number of postings and the number of hits increase stock prices. Second, postings with bullish or bearish key-words have more significant effect on the stock prices. Third, these findings are more prominent with the KOSDAQ-listed stocks, suggesting that the possibility of unfair trading based on posting manipulation is higher with KOSDAQ-listed stocks. Forth, we find that the influence of the number of postings and hits are different according to stock price ranges, indicating that there exists various individual investors with respect to the use of messages on internet stock message boards.