한국개발연구 표지_.hwp

韓國開發硏究제 32 권제 1 호 ( 통권제 106 호 ) 우리나라주식형펀드의투자성과평가 신인석 ( 중앙대학교경영학부부교수 ) 조성빈 ( 한국개발연구원부연구위원 ) Performance Evaluation of Equity Funds in Korea Inseok Shin (Assistant Professor, College of Business Administration, Chung-Ang University) Sungbin Cho (Research Fellow, Korea Development Institute) * 신인석 : (e-mail) ishin@cau.ac.kr, (address) Chung-Ang University, 211 Heukseok-dong Dongjak-gu, Seoul, Korea 조성빈 : (e-mail) scho@kdi.re.kr, (address) Korea Development Institute, 49 Hoegiro, Dongdaemun-gu, Seoul 136-701, Korea Key Word: (Fund Performance), (Efficient Market Hypothesis), (Market Timing) JEL code: G23, G29 Received: 2009. 8. 17 Referee Process Started: 2009. 8. 20 Referee Reports Completed: 2009. 12. 30

ABSTRACT We examine performance of actively managed equity funds in Korea for the period from 2002 to 2008 and investigate if fund managers have market timing abilities. We obtain the following findings: (1) average performance of funds evaluated at net return basis(net of expenses) is statistically indistinguishable from zero; (2) average performance of funds evaluated at gross return basis(before netting expenses) exceeds benchmark market returns significantly. More importantly, when funds are grouped by their size of expenses, higher performance is matched with larger expense; (3) the regression results for decomposing positive excessive returns of large-expense funds between market timing and stock selection ability are mixed. The first two findings of the paper are consistent with the Efficient Market Hypothesis a lá Grossman and Stiglitz(1980). Concluding remarks, however, need to be reserved since sources of excessive performance of funds with large expenses are yet to be clarified.

우리나라주식형펀드의투자성과평가 99 Ⅰ. 서론..?. (Efficient Market Hypothesis). Grossman(1976) Grossman and Stiglitz (1980),. (agency problem). -.. ( )..,.,. Jensen(1968) 1945 1964., 1970 Henriksson(1984), Chang and Lewellen(1984) 0. Ippolito(1989) 1965 1984., (survivorship bias). ( ) (Elton et al.[1993]; Ferson and Schadt[1996]; Carhart[1997])., 1990 (Malkiel[1995]; Gruber[1996];

100 韓國開發硏究 / 2010.Ⅰ Carhart[1997]; Pastor and Stambaugh [2002]). 0,. Chen, Jegadeesh, and Wermers(2000) Jiang, Yao, and Yu (2007),. Grossman and Stiglitz(1980). 1). (2001) 1998 12 2001 3. (2005) 1999 2003 2., (2005) 2000 7 2003 2 3~4%.... 3 (survivorship bias)... Grossman and Stiglitz(1980). 1. 1) (Lakonishok et al.[1991]; Chevalier and Ellison[1997, 1999]; Carhart et al.[2002]; Gaspar et al.[2006])..

우리나라주식형펀드의투자성과평가 101 2002 1 2008 12, 2)... 0. CAPM (Jensen), Fama and French(1993) 3, Ferson and Schadt(1996) CAPM(Conditional CAPM).,.., 4,. Grossman(1976), Grossman and Stiglitz(1980).,... Treynor and Mazuy (1966), Henriksson and Merton(1981) (market timing) (security selection).,.. (Chang and Lewellen[1984]; Ferson and Schadt[1996]; Ferson and Warther [1996]; Edelen[1999]). 2) (2009) 2001 1 2008 5,. 80%,.

102 韓國開發硏究 / 2010.Ⅰ....,..,,.. Ⅱ. 자료및방법론 1. 자료 가. 펀드자료.. 3),.,. 4) (index fund) (active investment)., 2002 1 2008 12.. <Table 1>,,. 2004 2005 2006 3) 100 60 ( 60% ),. 4),.,,,,,,, (2004).

우리나라주식형펀드의투자성과평가 103 <Table 1> Summary Information on Fund 1) Year Number of Funds Average Outstanding Balance Average Fund Age 2002 183 208.83 28.33 2003 180 147.19 38.14 2004 212 151.04 40.47 2005 288 606.11 35.60 2006 371 935.44 34.96 2007 458 1378.42 36.43 2008 530 1482.99 42.20 Notes: 1) As of the end of each year. 2) In 100 million KRWON. 3) In months... 나. 펀드수익률자료. : i t, : t, : i j, : j, : j,,,..,,.,.,. 1.

104 韓國開發硏究 / 2010.Ⅰ <Table 2> Trend in Fee Structure Year 1) Management Fee Sales Fee 2) Other Fees Total Fees 2002 0.647 1.641 0.050 2.338 2003 0.641 1.726 0.050 2.417 2004 0.653 1.671 0.111 2.435 2005 0.658 1.619 0.050 2.327 2006 0.665 1.563 0.050 2.278 2007 0.679 1.454 0.050 2.183 2008 0.681 1.426 0.050 2.157 Notes: 1) As of the end of each year. 2) Front-end load and Back-end load included. (Unit: %) Sirri and Tufano(1998), Huang et al.(2007) 7 1/7. <Table 2>. 2.3%,.... = (1 - ) 다. 기타자료및기초통계량 1. 5) KOSPI. (robustness).. 3 WiseFN. 6) 5). 6) 3 10. CD 2007,.

우리나라주식형펀드의투자성과평가 105 <Table 3> Summary Statistics of Factors Variables Mean Standard Deviation (KOSPI) 0.8142 6.8443-23.1344 12.7090 (Risk-Free Rate) 0.3786 0.0476 0.2701 0.4605 Min Max 1.4331 5.0867-15.2178 14.7776 0.2480 4.9528-14.1843 13.1940 Term Spread 0.0549 0.0371 0.0016 0.1618 Credit Spread 0.2716 0.0527 0.1764 0.3494 Dividend 0.1567 0.0312 0.1061 0.2336 Short-term 0.3378 0.0455 0.2661 0.4273 (Unit: %) Fama and French(1993). 6.,, 30%, 40%, 30%. 6. <Table 3>. 2. 방법론가. 평균펀드투자성과추정방법.., (pooling),,

106 韓國開發硏究 / 2010.Ⅰ. (cross section correlation)., (Ferson and Schadt[1996]). (, ),. 7)., (robustness). 나. 초과성과추정방법 CAPM (), 3, Ferson and Schadt(1996). (1) (2) (3) : t, : t i, (3-1) : t (Market Premium).,,, : t, : t, :, : (conditional variable). 7) Carhart(1997).

우리나라주식형펀드의투자성과평가 107 <Table 4> Definition of Conditioning Variables Variable Name Term Spread Credit Spread Dividend Short-term Definition 10-year Treasury bond yield less 1-year Treasury bill yield BBB-rated corporate bond yield less AAA-rated corporate bond yield the dividend yield of the KOSPI index Call rate <Table 5> Explanatory Power of Lagged Conditioning Variables for the Current Market Constant Term Spread(-1) Credit Spread(-1) Dividend (-1) Short-term (-1) Return Dependent Variable: Market Rate of Return (i) (ii) (iii) (iv) (v) 0.8142 (0.7512) 1.6971 (20.3847) 0.8142 (0.7467) 14.2919 (14.2632) 0.8142 (0.7266) 55.7769** (23.4672) 0.8142 (0.7253) -39.2529** (16.0428) 0.8142 (0.7170) -4.7002 (28.0208) -41.1457 (28.9569) 31.0841 (29.2826) -70.2228** (30.7309) R-squared 0.0001 0.012 0.065 0.068 0.1226 Note: Standard errors in parentheses.,,,., Ferson and Schadt (1996). <Table 4>., <Table 5>..

108 韓國開發硏究 / 2010.Ⅰ., p-. (3), (3-1) CAPM (1), 3 (2). (3-1) 3. 3 Fama and French(1993), 3 ( )., (3-1). (3-1) (multi-factor model)., (3-1). 8) (3-1). (3-1). 9) 다. 마켓타이밍추정방법 (market timing) Treynor and Mazuy(1966) Henriksson and Merton (1981). (1), (2) { >0}. { >0} 1 (Indicator Function)...,., { >0} 8) Ferson and Schadt(1996), Ferson(2003). 9),.

우리나라주식형펀드의투자성과평가 109.. Treynor and Mazuy(1966) (3), (3-1). Henriksson and Merton(1981) (3) (3-1), Ferson and Schadt (1996)., Henriksson and Merton(1981) (3) (3-1).. (4) (4-1), Ⅲ. 분석결과 1. 펀드투자의성과 가. 순수익률 (Net Return) 기준 <Table 6>. 6, 12, 36. CAPM, 0. 3. 3, 0., <Table 6>. (Malkiel[1995]).,

110 韓國開發硏究 / 2010.Ⅰ <Table 6> Net Return Performance of Fund Portfolio Total Sample (1) 6 months (2) 12 months (3) 24 months (5) 36 months 0.2548 (0.2359) 0.9030*** (0.0345) 0.2820 (0.2485) 0.9042*** (0.0351) 0.0178 (0.0492) -0.0224 (0.0482) 0.2459 (0.2361) 0.9042*** (0.0346) 0.2742 (0.2488) 0.9055*** (0.0351) 0.0150 (0.0493) -0.0227 (0.0482) 0.2299 (0.2363) 0.9053*** (0.0346) 0.2586 (0.2491) 0.9066*** (0.0351) 0.0147 (0.0493) -0.0229 (0.0483) 0.2491 (0.2388) 0.9121*** (0.0350) 0.2867 (0.2517) 0.9139*** (0.0355) 0.0039 (0.0499) -0.0274 (0.0488) 0.2469 (0.2410) 0.9182*** (0.0353) 0.2866 (0.2540) 0.9201*** (0.0358) 0.0021 (0.0503) -0.0287 (0.0492) R-squared 0.893 0.893 0.893 0.894 0.893 0.894 0.892 0.893 0.892 0.893 Note: Standard errors in parentheses.. <Table 7>.,..., (Ferson and Schadt[1996]; Ferson and Warther[1996]). 나. 총수익률 (Gross Return) 기준 1) 전체표본 <Table 8>. (10% ). 0.42% 5.2%.. <Table 9>,. 12.

우리나라주식형펀드의투자성과평가 111 <Table 7> Net Return Performance of Fund Portfolio: Conditional Models Total Sample (1) 6 months (2) 12 months (3) 24 months (4) 36 months 0.2683 (0.2520) 0.8910*** (0.0375) Term Spread Credit Spread Dividend Short-term 1.4821 (1.6258) -2.5357 (1.7036) 0.9877 (1.4694) -0.4581 (1.1844) 0.2949 (0.2672) 0.8929*** (0.0382) 0.0211 (0.0506) -0.0204 (0.0501) 1.5893 (1.6519) -2.6104 (1.7286) 0.8130 (1.5140) -0.5655 (1.2102) 0.2570 (0.2526) 0.8926*** (0.0376) 1.4452 (1.6293) -2.4516 (1.7073) 0.9933 (1.4726) -0.4412 (1.1869) 0.2846 (0.2679) 0.8945*** (0.0383) 0.0181 (0.0508) -0.0205 (0.0502) 1.5434 (1.6560) -2.5167 (1.7330) 0.8266 (1.5178) -0.5386 (1.2132) 0.2365 (0.2531) 0.8942*** (0.0377) 1.4289 (1.6325) -2.4289 (1.7107) 1.0089 (1.4755) -0.4727 (1.1893) 0.2645 (0.2684) 0.8961*** (0.0383) 0.0180 (0.0509) -0.0208 (0.0503) 1.5274 (1.6593) -2.4938 (1.7364) 0.8411 (1.5208) -0.5703 (1.2156) 0.2458 (0.2558) 0.9030*** (0.0381) 1.4229 (1.6500) -2.5431 (1.7290) 0.9469 (1.4913) -0.6813 (1.2020) 0.2845 (0.2713) 0.9054*** (0.0387) 0.0085 (0.0514) -0.0262 (0.0509) 1.5038 (1.6773) -2.5802 (1.7553) 0.7762 (1.5373) -0.7569 (1.2288) 0.2461 (0.2585) 0.9084*** (0.0385) 1.4442 (1.6673) -2.4443 (1.7471) 0.9755 (1.5070) -0.5844 (1.2146) 0.2872 (0.2742) 0.9109*** (0.0392) 0.0062 (0.0520) -0.0273 (0.0514) 1.5206 (1.6949) -2.4747 (1.7737) 0.8050 (1.5534) -0.6546 (1.2417) R-squared 0.897 0.897 0.897 0.897 0.896 0.897 0.896 0.896 0.895 0.896 Note: Standard errors in parentheses. <Table 8> Gross Return Performance of Fund Portfolio Total Sample (1) 6 months (2) 12 months (3) 24 months (4) 36 months 0.4473* (0.2365) 0.9051*** (0.0346) 0.4742* (0.2491) 0.9062*** (0.0351) 0.0180 (0.0494) -0.0222 (0.0483) 0.4388* (0.2366) 0.9063*** (0.0346) 0.4669* (0.2494) 0.9075*** (0.0352) 0.0152 (0.0494) -0.0226 (0.0483) 0.4239* (0.2369) 0.9073*** (0.0347) 0.4524* (0.2496) 0.9086*** (0.0352) 0.0149 (0.0495) -0.0228 (0.0484) 0.4497* (0.2394) 0.9140*** (0.0350) 0.4872* (0.2523) 0.9158*** (0.0356) 0.0038 (0.0500) -0.0273 (0.0489) 0.4519* (0.2416) 0.9201*** (0.0354) 0.4916* (0.2546) 0.9220*** (0.0359) 0.0019 (0.0504) -0.0286 (0.0494) R-squared 0.893 0.893 0.893 0.894 0.893 0.894 0.892 0.893 0.892 0.892 Note: Standard errors in parentheses.

112 韓國開發硏究 / 2010.Ⅰ <Table 9> Gross Return Performance of Fund Portfolio: Conditional Models Total Sample (1) 6 months (2) 12 months (3) 24 months (4) 36 months 0.4608* (0.2526) 0.8929*** (0.0376) 0.4871* (0.2679) 0.8949*** (0.0383) 0.0213 (0.0508) -0.0202 (0.0502) 0.4499* (0.2532) 0.8945*** (0.0377) 0.4772* (0.2685) 0.8964*** (0.0383) 0.0183 (0.0509) -0.0204 (0.0503) 0.4305* (0.2537) 0.8961*** (0.0377) 0.4582* (0.2690) 0.8981*** (0.0384) 0.0181 (0.0510) -0.0206 (0.0504) 0.4461* (0.2564) 0.9048*** (0.0381) 0.4847* (0.2720) 0.9072*** (0.0388) 0.0084 (0.0516) -0.0260 (0.0510) 0.4509* (0.2591) 0.9102*** (0.0385) 0.4918* (0.2749) 0.9127*** (0.0392) 0.0060 (0.0521) -0.0271 (0.0515) Term Spread 1.4942 (1.6297) 1.6016 (1.6559) 1.4574 (1.6332) 1.5559 (1.6600) 1.4412 (1.6362) 1.5399 (1.6631) 1.4418 (1.6539) 1.5221 (1.6813) 1.4648 (1.6714) 1.5402 (1.6991) Credit Spread -2.5396 (1.7077) -2.6148 (1.7328) -2.4557 (1.7114) -2.5214 (1.7371) -2.4343 (1.7146) -2.4998 (1.7404) -2.5561 (1.7331) -2.5929 (1.7595) -2.4592 (1.7514) -2.4889 (1.7781) Dividend 0.9977 (1.4730) 0.8235 (1.5177) 1.0033 (1.4761) 0.8369 (1.5214) 1.0182 (1.4789) 0.8507 (1.5243) 0.9640 (1.4948) 0.7944 (1.5410) 0.9947 (1.5106) 0.8258 (1.5573) Short-term -0.4540 (1.1872) -0.5617 (1.2131) -0.4372 (1.1898) -0.5350 (1.2161) -0.4697 (1.1920) -0.5677 (1.2184) -0.6793 (1.2049) -0.7543 (1.2317) -0.5815 (1.2176) -0.6507 (1.2448) R-squared 0.897 0.897 0.897 0.897 0.896 0.897 0.896 0.896 0.895 0.896 Note: Standard errors in parentheses. 2) 보수수준별추정 Grossman and Stiglitz(1980),,.. 4. <Table 10>, <Table 11>. <Table 10>. <Table 11> <Table 10>., CAPM

우리나라주식형펀드의투자성과평가 113 <Table 10> Gross Return Performance of Fund Portfolio: by Total Fee Level Total Fee 1.5 1.5< 2.0 2.0< 2.5 2.5< 0.3507 (0.2314) 0.8637*** (0.0339) 0.3308 (0.2408) 0.8622*** (0.0340) 0.0739 (0.0477) 0.0016 (0.0467) 0.3904 (0.2502) 0.8988*** (0.0366) 0.3525 (0.2605) 0.8963*** (0.0367) 0.0794 (0.0516) 0.0135 (0.0505) 0.4541* (0.2347) 0.8863*** (0.0344) 0.4744* (0.2470) 0.8871*** (0.0348) 0.0277 (0.0489) -0.0192 (0.0479) 0.4817* (0.2490) 0.9275*** (0.0365) 0.5322** (0.2623) 0.9300*** (0.0370) -0.0101 (0.0520) -0.0342 (0.0508) R-squared 0.888 0.891 0.880 0.884 0.890 0.891 0.888 0.888 Note: Standard errors in parentheses. <Table 11> Gross Return Performance of Fund Portfolio: by Total Fee Level - Conditional Models Total Fee 1.5 1.5< 2.0 2.0< 2.5 2.5< 0.4087* (0.2419) 0.8443*** (0.0360) Term Spread Credit Spread Dividend Short-term 0.9828 (1.5601) -2.3852 (1.6348) 1.1151 (1.4101) 0.1894 (1.1365) 0.3736 (0.2537) 0.8435*** (0.0362) 0.0692 (0.0481) 0.0116 (0.0476) 1.1690 (1.5680) -2.5991 (1.6409) 0.9808 (1.4372) -0.0206 (1.1487) 0.4248 (0.2687) 0.8852*** (0.0400) 1.6252 (1.7334) -2.1828 (1.8164) 0.7963 (1.5667) -0.1589 (1.2628) 0.3859 (0.2810) 0.8844*** (0.0401) 0.0849 (0.0533) 0.0116 (0.0527) 1.8592 (1.7370) -2.4462 (1.8178) 0.6168 (1.5920) -0.4212 (1.2725) 0.4705* (0.2503) 0.8738*** (0.0372) 1.5615 (1.6144) -2.6386 (1.6917) 0.9860 (1.4591) -0.4757 (1.1761) 0.4905* (0.2650) 0.8755*** (0.0378) 0.0318 (0.0502) -0.0179 (0.0497) 1.6958 (1.6380) -2.7460 (1.7142) 0.7947 (1.5013) -0.6141 (1.2000) 0.4809* (0.2665) 0.9182*** (0.0397) 1.5177 (1.7194) -2.7201 (1.8017) 0.9166 (1.5540) -0.7562 (1.2526) 0.5343* (0.2826) 0.9212*** (0.0404) -0.0051 (0.0536) -0.0334 (0.0530) 1.5725 (1.7470) -2.7172 (1.8282) 0.7446 (1.6012) -0.7997 (1.2798) R-squared 0.897 0.899 0.883 0.887 0.895 0.896 0.891 0.892 Note: Standard errors in parentheses.

114 韓國開發硏究 / 2010.Ⅰ.. 3) 보수수준과펀드별총수익률기준초과성과의관계추정 <Table 11>.. 9 CAPM 3.,,. 10) (heteroskedasticity) (autocorrelation) Newey- West. <Table 12>,,,. 2. 펀드매니저의마켓타이밍능력 (market timing). Treynor and Mazuy (1966) Henriksson and Merton(1981) <Table 13> Panel A B.., p- 11~ 12%.... (Chang and Lewellen[1984]) 10) Chen et al.(2004), Ferris and Yan(2009), Nanda et al.(2004).

우리나라주식형펀드의투자성과평가 115 <Table 12> Relationship between Gross Returns and Fee Level Constant ln(fundsize) Fundage Flow Total Fee Sales Fee (including load) Sales Fee (excluding load) Mgmt Fee Load Dummy 0.1409 (0.3720) 0.0032 (0.0149) -0.0003 (0.0010) 0.2828* (0.1620) 1.2272** (0.5406) 0.0175 (0.0608) CAPM Adjusted 0.1325 (0.3742) 0.0035 (0.0149) -0.0003 (0.0010) 0.2860* (0.1620) 1.1745** (0.5458) 1.3687** (0.6284) 0.0182 (0.0628) Dependent Variable: Gross Fund Return 0.1313 (0.3743) 0.0035 (0.0149) -0.0003 (0.0010) 0.2864* (0.1618) 1.1809** (0.5496) 1.3702** (0.6306) 0.0978 (0.0686) 0.0443 (0.3439) 0.0063 (0.0137) 0.0000 (0.0009) 0.2587* (0.1372) 1.4054*** (0.5389) 0.0337 (0.0602) 3 Factor Adjusted 0.0287 (0.3446) 0.0068 (0.0138) 0.0001 (0.0009) 0.2632* (0.1370) 1.2642** (0.5485) 1.8228*** (0.6129) 0.0366 (0.0620) 0.0263 (0.3448) 0.0068 (0.0138) 0.0001 (0.0009) 0.2635* (0.1367) 1.2902** (0.5500) 1.8283*** (0.6143) 0.1238* (0.0701) No. of Obs 23957 23957 23957 23957 23957 23957 Average R-squared 0.101 0.105 0.105 0.104 0.108 0.108 Note: The t-statistics are adjusted for serial correlation using Newey-West (1987) lags of order two and are shown in parentheses. (Jagannathan and Korajczyk[1986]; Glosten and Jagannathan[1994]),. Ferson and Schadt(1996). <Table 14> <Table 15>. p-.,..,

116 韓國開發硏究 / 2010.Ⅰ <Table 13> Estimation of Market Timing Ability Panel A: Treynor-Mazuy Model Total Fee 1.5 1.5< 2.0 2.0< 2.5 2.5< 0.6131** (0.2783) 0.8463*** (0.0351) -0.0055 (0.0033) 0.5496* (0.2847) 0.8463*** (0.0355) 0.0639 (0.0479) 0.0120 (0.0470) -0.0048 (0.0034) 0.4528 (0.3057) 0.8946*** (0.0386) -0.0013 (0.0036) 0.3751 (0.3119) 0.8947*** (0.0389) 0.0784 (0.0525) 0.0146 (0.0514) -0.0005 (0.0037) 0.5112* (0.2867) 0.8825*** (0.0362) -0.0012 (0.0034) 0.5022* (0.2957) 0.8851*** (0.0369) 0.0264 (0.0498) -0.0179 (0.0488) -0.0006 (0.0035) 0.5106* (0.3044) 0.9256*** (0.0384) -0.0006 (0.0036) 0.5450* (0.3141) 0.9291*** (0.0392) -0.0107 (0.0529) -0.0336 (0.0518) -0.0003 (0.0037) R-squared 0.892 0.894 0.880 0.884 0.890 0.891 0.888 0.888 Panel B: Henriksson-Merton Model Total Fee 1.5 1.5< 2.0 2.0< 2.5 2.5< 0.7674* (0.4001) 0.9314*** (0.0629) -0.1491 (0.1170) 0.7023* (0.4021) 0.9239*** (0.0634) 0.0706 (0.0477) 0.0108 (0.0473) -0.1373 (0.1191) 0.4503 (0.4368) 0.9085*** (0.0687) -0.0214 (0.1277) 0.3771 (0.4387) 0.9004*** (0.0692) 0.0792 (0.0520) 0.0141 (0.0516) -0.0091 (0.1299) 0.5126 (0.4097) 0.8958*** (0.0645) -0.0210 (0.1198) 0.4894 (0.4159) 0.8896*** (0.0656) 0.0275 (0.0493) -0.0188 (0.0489) -0.0055 (0.1232) 0.4779 (0.4348) 0.9269*** (0.0684) 0.0014 (0.1271) 0.4900 (0.4416) 0.9230*** (0.0697) -0.0097 (0.0524) -0.0353 (0.0519) 0.0156 (0.1308) R-squared 0.890 0.893 0.880 0.884 0.890 0.891 0.888 0.888 Note: Standard errors in parentheses.,. <Table 14, 15>.

우리나라주식형펀드의투자성과평가 117 <Table 14> Estimation of Market Timing Ability-Conditional, Treynor-Mazuy Model Total Fee 1.5 1.5< 2.0 2.0< 2.5 2.5< 0.5557* (0.2960) 0.5031 (0.3025) 0.4384 (0.3305) 0.3814 (0.3365) 0.4863 (0.3078) 0.4895 (0.3173) 0.5051 (0.3278) 0.5444 (0.3384) 0.8398*** (0.0364) 0.8389*** (0.0368) 0.8848*** (0.0407) 0.8846*** (0.0409) 0.8733*** (0.0379) 0.8756*** (0.0386) 0.9174*** (0.0403) 0.9208*** (0.0411) 0.0669 (0.0483) 0.0849 (0.0537) 0.0318 (0.0506) -0.0053 (0.0540) 0.0160 (0.0480) 0.0115 (0.0534) -0.0179 (0.0504) -0.0331 (0.0537) -0.0040 (0.0047) -0.0037 (0.0047) -0.0004 (0.0052) 0.0001 (0.0053) -0.0004 (0.0049) 0.0000 (0.0050) -0.0007 (0.0052) -0.0003 (0.0053) Term Spread 1.0382 (1.5639) 1.2041 (1.5725) 1.6303 (1.7460) 1.8580 (1.7493) 1.5675 (1.6261) 1.6956 (1.6496) 1.5268 (1.7318) 1.5752 (1.7592) Credit Spread -2.7678 (1.6963) -2.9437* (1.7018) -2.2181 (1.8938) -2.4344 (1.8930) -2.6799 (1.7637) -2.7433 (1.7852) -2.7831 (1.8783) -2.7442 (1.9038) Dividend 0.9597 (1.4238) 0.8684 (1.4477) 0.7819 (1.5895) 0.6206 (1.6104) 0.9693 (1.4804) 0.7956 (1.5186) 0.8910 (1.5765) 0.7358 (1.6196) Short-term -0.6340 (1.4848) -0.7659 (1.4886) -0.2348 (1.6576) -0.3958 (1.6558) -0.5645 (1.5438) -0.6084 (1.5615) -0.8918 (1.6441) -0.8581 (1.6653) R-squared 0.898 0.900 0.883 0.887 0.895 0.896 0.891 0.892 Note: Standard errors in parentheses. ( ),... (Ferson and Warther[1996]; Edelen [1999]).

118 韓國開發硏究 / 2010.Ⅰ <Table 15> Estimation of Market Timing Ability-Conditional, Henriksson-Merton Model Total Fee 1.5 1.5< 2.0 2.0< 2.5 2.5< 0.4934 (0.3750) 0.4782 (0.3791) 0.2941 (0.4097) 0.2810 (0.4132) 0.3514 (0.3876) 0.3640 (0.3936) 0.3269 (0.4142) 0.3565 (0.4195) 0.8606*** (0.0769) 0.8656*** (0.0776) 0.8756*** (0.0840) 0.8811*** (0.0846) 0.8649*** (0.0794) 0.8643*** (0.0806) 0.9004*** (0.0849) 0.8952*** (0.0859) 0.0481 (0.0490) 0.0609 (0.0534) 0.0122 (0.0509) -0.0268 (0.0542) 0.0108 (0.0482) 0.0041 (0.0525) -0.0233 (0.0500) -0.0394 (0.0533) * -0.0425 (0.1253) -0.0505 (0.1278) 0.0356 (0.1369) 0.0292 (0.1392) 0.0317 (0.1295) 0.0397 (0.1326) 0.0465 (0.1384) 0.0639 (0.1414) Term Spread 0.9801 (2.6534) 0.8748 (2.6806) 1.6392 (2.8987) 1.5441 (2.9216) 1.2826 (2.7421) 1.3595 (2.7829) 1.1262 (2.9302) 1.3175 (2.9661) Credit Spread -4.0108 (2.6544) -4.0115 (2.6734) -4.8556* (2.8998) -4.8557 (2.9136) -4.9774* (2.7431) -4.9753* (2.7753) -5.1363* (2.9314) -5.1332* (2.9580) Dividend 2.8006 (2.1466) 2.5829 (2.1783) 3.6907 (2.3451) 3.3882 (2.3741) 3.1688 (2.2183) 3.0406 (2.2614) 2.9649 (2.3706) 2.9925 (2.4103) Short-term -0.2351 (1.6626) -0.4750 (1.6924) -1.0849 (1.8163) -1.3907 (1.8445) -1.4288 (1.7182) -1.4954 (1.7569) -1.6988 (1.8361) -1.5725 (1.8726) * Term Spread -1.0478 (3.2887) -0.5895 (3.3485) -1.3399 (3.5928) -0.7982 (3.6495) -0.5397 (3.3987) -0.5278 (3.4762) -0.3617 (3.6319) -0.7506 (3.7051) * Credit Spread 1.4932 (3.4334) 1.3697 (3.4609) 3.3815 (3.7509) 3.2139 (3.7719) 3.3191 (3.5482) 3.2573 (3.5928) 3.6278 (3.7917) 3.6575 (3.8294) * Dividend -5.8709* (3.2125) -5.3189 (3.2977) -8.3069** (3.5095) -7.6774** (3.5941) -6.0850* (3.3199) -6.1326* (3.4235) -5.7814 (3.5477) -6.3291* (3.6488) * Short-term -3.5844 (2.9445) -3.0625 (3.0145) -2.8089 (3.2167) -2.1779 (3.2855) -1.4153 (3.0429) -1.3632 (3.1295) -1.1802 (3.2517) -1.5736 (3.3355) R-squared 0.907 0.908 0.898 0.900 0.905 0.906 0.901 0.902 Note: Standard errors in parentheses.

우리나라주식형펀드의투자성과평가 119.. Ⅳ. 강건성검증, <Table 16>.. CAPM 3 0.. 1. 설정액기준가중평균포트폴리오사용.. (value-weighted portfolio)., (Sirri and Tufano[1998]),.. 2. 펀드별벤치마크사용 (Roll [1971]; Lehman and Modest[1987]; Admati et al.[1986]; Conner and Korajczyk[1991]; Grinblatt and Titman[1989]). Elton, Gruber, Das, and Hlavka(1993)...

120 韓國開發硏究 / 2010.Ⅰ <Table 16> Reestimating Performance of Fund Portfolio: Value-weighted Portfolio Total Sample Panel A: Net Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months 0.2988 (0.2594) 0.9304*** (0.0380) 0.3613 (0.2729) 0.9335*** (0.0385) -0.0138 (0.0541) -0.0422 (0.0529) 0.2988 (0.2594) 0.9304*** (0.0380) 0.3613 (0.2729) 0.9335*** (0.0385) -0.0138 (0.0541) -0.0422 (0.0529) 0.2990 (0.2595) 0.9302*** (0.0380) 0.3615 (0.2730) 0.9334*** (0.0385) -0.0139 (0.0541) -0.0422 (0.0529) 0.3116 (0.2589) 0.9293*** (0.0379) 0.3736 (0.2724) 0.9324*** (0.0384) -0.0147 (0.0540) -0.0417 (0.0528) 0.3197 (0.2615) 0.9293*** (0.0383) 0.3866 (0.2750) 0.9327*** (0.0388) -0.0189 (0.0545) -0.0445 (0.0533) R-squared 0.880 0.881 0.880 0.881 0.880 0.881 0.880 0.881 0.878 0.879 Total Sample Panel B: Gross Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months 0.5016* (0.2600) 0.9325*** (0.0381) 0.5640** (0.2736) 0.9356*** (0.0386) -0.0139 (0.0542) -0.0421 (0.0530) 0.5016* (0.2600) 0.9325*** (0.0381) 0.5641** (0.2736) 0.9356*** (0.0386) -0.0139 (0.0542) -0.0421 (0.0530) 0.5023* (0.2601) 0.9324*** (0.0381) 0.5647** (0.2736) 0.9355*** (0.0386) -0.0140 (0.0542) -0.0420 (0.0530) 0.5176** (0.2595) 0.9314*** (0.0380) 0.5795** (0.2731) 0.9345*** (0.0385) -0.0149 (0.0541) -0.0416 (0.0529) 0.5273** (0.2621) 0.9314*** (0.0384) 0.5942** (0.2756) 0.9348*** (0.0389) -0.0191 (0.0546) -0.0444 (0.0534) R-squared 0.880 0.881 0.880 0.881 0.880 0.881 0.880 0.881 0.878 0.879 Note: Standard errors in parentheses.. <Table 17>. KOSPI. 0.

우리나라주식형펀드의투자성과평가 121 <Table 17> Reestimating Performance of Fund Portfolio: Against Preannounced Target Benchmark Portfolio Total Sample Panel A: Net Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months 0.2461 (0.2489) 0.9171*** (0.0373) 0.2732 (0.2611) 0.9189*** (0.0377) 0.0413 (0.0517) -0.0266 (0.0506) 0.2370 (0.2486) 0.9187*** (0.0372) 0.2655 (0.2609) 0.9205*** (0.0376) 0.0383 (0.0517) -0.0271 (0.0506) 0.2209 (0.2485) 0.9199*** (0.0372) 0.2500 (0.2608) 0.9218*** (0.0376) 0.0381 (0.0516) -0.0275 (0.0506) 0.2250 (0.2507) 0.9249*** (0.0374) 0.2588 (0.2632) 0.9271*** (0.0379) 0.0337 (0.0521) -0.0301 (0.0510) 0.2158 (0.2537) 0.9315*** (0.0379) 0.2516 (0.2664) 0.9337*** (0.0384) 0.0324 (0.0527) -0.0313 (0.0516) R-squared 0.881 0.882 0.881 0.883 0.882 0.883 0.882 0.883 0.880 0.882 Total Sample Panel B: Gross Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months 0.4386* (0.2495) 0.9192*** (0.0373) 0.4655* (0.2617) 0.9210*** (0.0377) 0.0416 (0.0518) -0.0265 (0.0508) 0.4299* (0.2492) 0.9208*** (0.0373) 0.4582* (0.2615) 0.9226*** (0.0377) 0.0386 (0.0518) -0.0269 (0.0507) 0.4149* (0.2491) 0.9220*** (0.0373) 0.4437* (0.2614) 0.9238*** (0.0377) 0.0383 (0.0518) -0.0273 (0.0507) 0.4255* (0.2513) 0.9269*** (0.0375) 0.4592* (0.2638) 0.9291*** (0.0380) 0.0337 (0.0522) -0.0300 (0.0512) 0.4207 (0.2543) 0.9335*** (0.0380) 0.4565* (0.2670) 0.9358*** (0.0385) 0.0323 (0.0529) -0.0313 (0.0518) R-squared 0.881 0.882 0.881 0.883 0.882 0.883 0.882 0.883 0.880 0.882 Note: Standard errors in parentheses... Sensoy(2009),

122 韓國開發硏究 / 2010.Ⅰ,. 3. 운용스타일별추정. ( 80% ) ( 60~ 80%). <Table 18> <Table 19>.,.,. Ⅴ. 결론 2002 1 2008 12.., 0., 0. 5.2%., 4,., Treynor and Mazuy(1966) Henriksson and Merton (1981),. Grossman and Stiglitz(1980)., ( ). ( 0 ).

우리나라주식형펀드의투자성과평가 123 <Table 18> Reestimating Performance of Fund Portfolio: by Investment Style (Aggressive Type - Equity Holding 80% over) Total Sample Panel A: Net Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor 0.2472 (0.2357) 0.9006*** (0.0345) 0.2746 (0.2484) 0.9018*** (0.0350) 0.0151 (0.0492) -0.0221 (0.0482) 0.2383 (0.2359) 0.9021*** (0.0345) 0.2672 (0.2487) 0.9034*** (0.0351) 0.0125 (0.0493) -0.0227 (0.0482) 0.2245 (0.2365) 0.9035*** (0.0346) 0.2543 (0.2492) 0.9048*** (0.0352) 0.0122 (0.0494) -0.0234 (0.0483) 0.2399 (0.2395) 0.9129*** (0.0351) 0.2799 (0.2524) 0.9148*** (0.0356) 0.0030 (0.0500) -0.0290 (0.0489) 0.2370 (0.2415) 0.9183*** (0.0354) 0.2792 (0.2545) 0.9203*** (0.0359) 0.0010 (0.0504) -0.0302 (0.0493) R-squared 0.893 0.893 0.893 0.893 0.893 0.893 0.892 0.893 0.892 0.892 Total Sample Panel B: Gross Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor 0.4409* (0.2363) 0.9026*** (0.0346) 0.4680* (0.2490) 0.9038*** (0.0351) 0.0153 (0.0493) -0.0219 (0.0483) 0.4324* (0.2365) 0.9042*** (0.0346) 0.4610* (0.2493) 0.9054*** (0.0352) 0.0127 (0.0494) -0.0225 (0.0483) 0.4196* (0.2370) 0.9055*** (0.0347) 0.4492* (0.2498) 0.9068*** (0.0352) 0.0123 (0.0495) -0.0232 (0.0484) 0.4412* (0.2401) 0.9149*** (0.0351) 0.4810* (0.2530) 0.9168*** (0.0357) 0.0029 (0.0501) -0.0289 (0.0490) 0.4430* (0.2421) 0.9202*** (0.0354) 0.4851* (0.2552) 0.9223*** (0.0360) 0.0008 (0.0506) -0.0301 (0.0495) R-squared 0.893 0.893 0.893 0.893 0.893 0.893 0.892 0.893 0.892 0.892 Note: Standard errors in parentheses....

124 韓國開發硏究 / 2010.Ⅰ <Table 19> Reestimating Performance of Fund Portfolio: by Investment Style Total Sample Panel A: Net Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor 0.3647 (0.2404) 0.9192*** (0.0352) 0.3201 (0.2503) 0.9170*** (0.0354) 0.0607 (0.0497) 0.0240 (0.0507) 0.3612 (0.2402) 0.9185*** (0.0352) 0.3152 (0.2501) 0.9162*** (0.0354) 0.0604 (0.0496) 0.0251 (0.0506) 0.3411 (0.2393) 0.9193*** (0.0351) 0.2920 (0.2490) 0.9169*** (0.0352) 0.0621 (0.0494) 0.0272 (0.0504) 0.4028* (0.2353) 0.8959*** (0.0345) 0.3470 (0.2455) 0.8934*** (0.0348) 0.0457 (0.0487) 0.0357 (0.0497) 0.4015* (0.2406) 0.9127*** (0.0353) 0.3477 (0.2511) 0.9103*** (0.0355) 0.0490 (0.0498) 0.0334 (0.0508) R-squared 0.894 0.896 0.894 0.896 0.895 0.897 0.893 0.894 0.892 0.894 Total Sample Panel B: Gross Return Performance (1) 6 months (2) 12 months (3) 24 months (4) 36 months CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor CAPM 3Factor 0.5382** (0.2409) 0.9210*** (0.0353) (Growth Type - Equity Holding 60~80%) 0.4935* (0.2507) 0.9188*** (0.0355) 0.0616 (0.0498) 0.0238 (0.0508) 0.5347** (0.2407) 0.9202*** (0.0353) 0.4886* (0.2505) 0.9180*** (0.0355) 0.0614 (0.0497) 0.0250 (0.0507) 0.5147** (0.2398) 0.9211*** (0.0352) 0.4656* (0.2494) 0.9187*** (0.0353) 0.0631 (0.0495) 0.0270 (0.0505) 0.5818** (0.2357) 0.8973*** (0.0345) 0.5263** (0.2459) 0.8948*** (0.0348) 0.0464 (0.0488) 0.0354 (0.0498) 0.5788** (0.2411) 0.9142*** (0.0353) 0.5253** (0.2515) 0.9118*** (0.0356) 0.0497 (0.0499) 0.0331 (0.0509) R-squared 0.894 0.896 0.894 0.896 0.894 0.897 0.893 0.894 0.892 0.894 Note: Standard errors in parentheses.

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128 韓國開發硏究 / 2010.Ⅰ <Appendix> <Table A-1> Net Return Performance of Fund Portfolio: Conditional Models - Alternative Specification (1) (2) (3) (4) Total Sample survived longer survived longer survived longer survived longer than 6 months than 12 months than 24 months than 36 months 0.3108 0.2973 0.2758 0.2871 0.2869 (0.2895) (0.2904) (0.2911) (0.2944) (0.2974) 0.8838*** 0.8859*** 0.8877*** 0.8968*** 0.9019*** (0.0422) (0.0423) (0.0424) (0.0429) (0.0433) 0.0136 0.0114 0.0120 0.0019-0.0005 (0.0589) (0.0591) (0.0593) (0.0599) (0.0605) -0.0193-0.0196-0.0198-0.0240-0.0244 (0.0542) (0.0544) (0.0545) (0.0551) (0.0557) Term Spread 1.4446 1.4008 1.3849 1.3387 1.3482 (1.8869) (1.8928) (1.8972) (1.9183) (1.9383) Credit Spread -2.7044 (1.9050) -2.6064 (1.9109) -2.5841 (1.9153) -2.6842 (1.9366) -2.5967 (1.9568) Dividend 0.5304 0.5772 0.6061 0.5935 0.6302 (1.7649) (1.7704) (1.7745) (1.7942) (1.8129) Short-term -0.8390 (1.4168) -0.7856 (1.4212) -0.7974 (1.4245) -0.9756 (1.4403) -0.8722 (1.4553) Term Spread -0.4771 (1.9708) -0.5301 (1.9769) -0.5557 (1.9815) -0.7193 (2.0036) -0.8039 (2.0244) Credit Spread 0.7389 (2.2330) 0.6422 (2.2399) 0.5381 (2.2451) 0.3963 (2.2701) 0.2840 (2.2937) Dividend 0.1150 (2.3258) -0.0049 (2.3330) -0.1095 (2.3384) -0.1398 (2.3644) -0.2030 (2.3890) Short-term 0.6538 (2.4479) 0.5249 (2.4555) 0.3926 (2.4612) 0.1846 (2.4886) 0.0246 (2.5145) Term Spread -0.6257 (2.2450) -0.6145 (2.2519) -0.5741 (2.2572) -0.6047 (2.2823) -0.6183 (2.3060) Credit Spread 0.1537 (2.2804) 0.1960 (2.2875) 0.1312 (2.2928) 0.1976 (2.3183) 0.0909 (2.3424) Dividend -1.0752 (2.5830) -1.0231 (2.5911) -1.0176 (2.5971) -1.0994 (2.6259) -1.2204 (2.6533) Short-term -1.4657 (2.7889) -1.3801 (2.7976) -1.4148 (2.8041) -1.3422 (2.8352) -1.4766 (2.8648) R-squared 0.899 0.898 0.898 0.897 0.897 Note: Standard errors in parentheses.

우리나라주식형펀드의투자성과평가 129 <Table A-2> Gross Return Performance of Fund Portfolio: Conditional Models - Alternative Specification Total Sample 0.5029* (0.2902) 0.8857*** (0.0423) 0.0138 (0.0591) -0.0191 (0.0544) Term Spread 1.4547 (1.8914) Credit -2.7065 Spread (1.9095) Dividend 0.5420 (1.7691) Short-term -0.8332 (1.4202) Term -0.4823 Spread (1.9755) Credit 0.7433 Spread (2.2383) Dividend 0.1077 (2.3313) Short-term 0.6519 (2.4538) Term -0.6234 Spread (2.2503) Credit 0.1617 Spread (2.2858) Dividend -1.0697 (2.5892) Short-term -1.4658 (2.7956) (1) survived longer than 6 months 0.4898* (0.2911) 0.8879*** (0.0424) 0.0116 (0.0593) -0.0194 (0.0545) 1.4112 (1.8972) -2.6088 (1.9153) 0.5886 (1.7745) -0.7801 (1.4245) -0.5347 (1.9816) 0.6468 (2.2451) -0.0121 (2.3384) 0.5232 (2.4613) -0.6123 (2.2572) 0.2032 (2.2928) -1.0180 (2.5971) -1.3813 (2.8041) (2) survived longer than 12 months 0.4695 (0.2918) 0.8897*** (0.0425) 0.0122 (0.0594) -0.0197 (0.0547) 1.3952 (1.9014) -2.5877 (1.9196) 0.6165 (1.7784) -0.7930 (1.4277) -0.5602 (1.9859) 0.5435 (2.2501) -0.1161 (2.3436) 0.3918 (2.4667) -0.5716 (2.2622) 0.1385 (2.2979) -1.0128 (2.6028) -1.4155 (2.8103) (3) survived longer than 24 months 0.4872 (0.2950) 0.8986*** (0.0430) 0.0018 (0.0601) -0.0239 (0.0553) 1.3543 (1.9228) -2.6948 (1.9411) 0.6130 (1.7984) -0.9713 (1.4437) -0.7191 (2.0083) 0.4007 (2.2754) -0.1445 (2.3700) 0.1855 (2.4944) -0.5949 (2.2876) 0.2063 (2.3237) -1.0948 (2.6321) -1.3366 (2.8419) (4) survived longer than 36 months 0.4915 (0.2982) 0.9036*** (0.0434) -0.0007 (0.0607) -0.0243 (0.0558) 1.3649 (1.9430) -2.6090 (1.9616) 0.6517 (1.8173) -0.8671 (1.4589) -0.8031 (2.0294) 0.2869 (2.2993) -0.2086 (2.3949) 0.0260 (2.5207) -0.6067 (2.3117) 0.0984 (2.3482) -1.2161 (2.6598) -1.4710 (2.8718) R-squared 0.899 0.898 0.898 0.897 0.897 Note: Standard errors in parentheses.