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@article{ART001529005},
author={YoonBongHan and 이세우},
title={An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2011},
volume={22},
number={1},
pages={67-107}

TY - JOUR
AU - YoonBongHan
AU - 이세우
TI - An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance
JO - Journal of Insurance and Finance
PY - 2011
VL - 22
IS - 1
PB - Korea Insurance Research Institute
SP - 67
EP - 107
SN - 2384-3209
AB - 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.
KW - fund characteristics;fund manager;fund performance;korean equity funds
DO -
UR -
ER -

YoonBongHan and 이세우. (2011). An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance. Journal of Insurance and Finance, 22(1), 67-107.

YoonBongHan and 이세우. 2011, "An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance", Journal of Insurance and Finance, vol.22, no.1 pp.67-107.

YoonBongHan, 이세우 "An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance" Journal of Insurance and Finance 22.1 pp.67-107 (2011) : 67.

YoonBongHan, 이세우. An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance. 2011; 22(1), 67-107.

YoonBongHan and 이세우. "An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance" Journal of Insurance and Finance 22, no.1 (2011) : 67-107.

YoonBongHan; 이세우. An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance. Journal of Insurance and Finance, 22(1), 67-107.

YoonBongHan; 이세우. An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance. Journal of Insurance and Finance. 2011; 22(1) 67-107.

YoonBongHan, 이세우. An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance. 2011; 22(1), 67-107.

YoonBongHan and 이세우. "An Empirical Study on the Relationships between Equity Fund Characteristics and Fund Performance" Journal of Insurance and Finance 22, no.1 (2011) : 67-107.