earticle

영어

The sale of funds employing a dollar cost averaging strategy has allegedly started a new era in Korean fund market. In fact, Assets under management (AUMs) of equity funds have dramatically increased and investment patterns of individual investors have changed to indirect and long-term horizon investments since the dollar cost averaging funds settled down. Accordingly, investment management companies have also changed their trading strategies from frequent changes of holding stocks for higher short-term performance to buy and holding stocks, enabling them to timely react to market movement. In addition, securities companies and banks have been actively attracted to the dollar cost averaging funds, resulting in the changes of funds’ sale channel. This has profoundly influenced the overall financial industry. However, very little research has been conducted thus far on this issue in academy and practices. Most literatures have overlooked the effect of the dollar cost averaging funds on fund market, thus producing erroneous results. Since the onset of the structural changes in fund market in 2005 when the dollar cost averaging funds started to be sold in full scale, this paper benchmarks that year in examining selectivity skill and timing ability of equity fund managers during pre- and post-structural change periods. I conjecture that the investment companies are more likely to critically alter asset management strategies after the sale of the dollar cost averaging funds, which is supposed to have generated significant effects on the performance of fund managers. Therefore, I investigate the managers’ selectivity skills of purchasing (selling) appreciating (depreciating) stocks in advance and their timing ability to switch among fund asset classes in an attempt to profit from the changes in market outlook. In doing this, we use three performance estimation methodologies including combined models of Fama and French (1993) with Treynor and Mazuy (1966), Henriksson and Merton (1981), and Goetzmann, Ingersoll, and Ivkovic (2000). I also employ pooled regression for each year, non-parametric analysis, and dummy variable added regression for robustness test. The results of analyses using various methodologies to estimate performance show that the fund managers’ timing skills of fund managers strikingly improve after structural change in the fund market. For one thing, only 2% of equity funds are observed to hold statistically significant timing ability during the pre-structural change periods, while more than 30% of funds display timing ability during the post-structural change periods. I also provide evidence that fund managers present substantially different timing ability by investment management company, and that the timing skills of fund managers are much more improved after structural change in funds whose stock holding ratio is higher, total cost is lower, and size is larger (more than 100 billion won) or enormously tiny (less than 5 billion won). Meanwhile, the selectivity skills of fund managers deteriorate after structural change, but the extent of decline is not statistically significant. These results suggest that the investment companies may be able to compose holding stocks and to timely alter stocks by focusing more closely on the market movements especially those related to structural changes of fund market caused by the sale of dollar cost averaging funds. In reality, most dollar cost averaging funds are classified not as aggressive growth funds whose purpose is to achieve the highest capital gain accompanied by high share price volatility, but as value funds that primarily hold stocks that are conceived to be undervalued in price in the relatively long term horizon. This implies that trading strategy on equity funds is more likely to change the longer investment horizon and the lower turnover ratio, enlarging the opportunity of timing ability for fund managers. Another implication of the results of this study is that the impact of a rapidly growing fund market on the entire stock market has augmented since the sale of dollar cost averaging funds. Namely, as major liquidity providers, equity funds lead to entire stock market movement. For instance, the Korea Composite Stock Price Index (KOSPI) had increased for a while after the introduction of the dollar cost averaging funds, although foreign investors’ stock investments have reverted to a net selling position. This paper contributes to the existing literature in that the sale of dollar cost averaging funds bringing about tremendous structural changes is assessed as a crucial incident that marks the beginning of a new era in the Korean fund market. In addition, the paper minimizes the various biases caused by sample selection through more systematic selection procedure such as excluding master feed funds within family funds, picking one among multi- class funds, and including funds whose inception date is after June 2000 when new classification system of funds was introduced. Above all, this paper propounds salient implication that future researches associated with funds in Korean market should necessarily ponder over the impact of these structural changes on their results.

한국어

본 연구는 적립식 펀드가 본격적으로 판매되기 시작한 2005년을 국내 펀드시장 구조 적 변화의 분기점으로 파악하고 구조적 변화 전후의 펀드 매니저의 시장예측 능력과 종목선택 기술에 대해 살펴보았다. 펀드 분류기준이 새롭게 정립된 2000년 6월 이후 설정된 펀드를 대상으로 보다 체계화되고 목적 적합한 표본설정 절차와 비모수통계 법을 포함하는 다양한 성과 측정 방법론을 통해 분석을 실시했다. 연구결과 구조적 변화 이후 펀드매니저의 시장예측 능력은 큰 폭으로 개선된 것으로 밝혀졌다. 연구모형에 따라 다소 상이하지만 구조적 변화 이전 조사 대상 펀드 중 2% 에서만 관찰되었던 시장예측 능력은 변화 이후 30%가 넘는 펀드에서 관찰되었다. 반 면 구조적 변화 이후 종목선택 능력은 변화 이전보다 감소한 것으로 나타났지만 시장 예측 능력만큼 큰 폭의 변화를 보이지는 않았다. 또한 구조적 변화 이후 펀드매니저 의 시장예측 능력은 자산운용사별로 큰 차이를 보였으며 주식편입비율이 높을수록, 총 보수율이 낮을수록, 펀드 규모가 자투리펀드나 대형펀드인 경우 더 크게 향상된 것으로 조사됐다. 본 연구는 국내 펀드시장의 양적 질적 성장의 도화선 역할을 한 적립식 펀드 판매를 시대적으로 시장을 구분할 수 있는 하나의 분기점으로 인지, 펀드 관련 연구 시 펀드 시장의 구조적 변화에 대한 검증 필요성을 제기했다는 점에서 공헌점이 있다고 할 수 있다.