earticle

영어

This study empirically examines whether there is a relation between RPI(public information reliance)and fund performance in terms of public information types in Korean fund market. According to a prior theoretical result, it has been acknowledged that in an equilibrium, informed investors tend to hold less(more) asset relative to uninformed investors when good(bad) public news arrive into market. Based on the equilibrium model developed by Kacperczyk and Seru(2007), this model predicts that the holdings of uninformed investor is more sensitive to public information. As a result, they provide how the value of fund manager with superior ability utilizes private information in terms of fund performance. Specifically, they show theoretically that the responsiveness of a fund manager’s portfolio allocations to changes in public information decreases in the fund manager’s skill. According to theoretical model developed by Kacperczyk and Seru(2007), we go on to estimated the squared R of the regression of changes in a manager’s portfolio holdings on changes in public information as a public information reliance(RPI) using a panel of actively managed equity funds in Korean fund market. We follow the model of Kacperczyk and Seru(2007) and present a simple model to detect managerial skills. To test this theoretical model, we formulate the model’s testable predictions. Consistent with Cohen, Coval, and Pastor(2005), our central premise is that the skill level of an informed investor is captured by the precision of the private signal he receives. As mentioned by Kacperczyk and Seru(2007), This premise differs from that in Grossman and Stiglitz(1980), who assume that any investor can acquire a private signal by paying a constant fee. In our paper, we focus on establishing how the portfolio holdings of informed investors move with changes in public information relative to the portfolio holdings of uninformed investors. In our empirical test, we separate all public information into good and bad information based on analysts recommendations to find how fund manager tend to activate for responding to each public information. Based on mentioned fact above, we use the investor opinion that analysts recommendations as a proxy for public information. Using monthly data for the sample period of 11/2001~12/2007 in this paper, CS, CT, AT, GT, IS, and RT are employed as the proxies for fund performance based on portfolio holdings of DGTW(1997). The major empirical findings from this study are as follows. First, for good public news, fund managers with high CS and AS tend to have low RPI. Second, for bad public news, fund managers with high CS, AS, IS and RT tend to have high RPI as well. As a result, this paper suggests the evidence that on average, there is a superior ability of fund managers according to public information types.

한국어

논문에서는 공적 정보 유형에 따라 펀드 매니저의 공적 정보이용도와 펀드 성과간의 관계를 실증 검증 한다. 이론적으로 긍정적인 공적 정보가 시장에 전달 될 때 정보 투자자는 위험자산에 대한 보유 종목 수를 감소시키며, 부정적인 공적 정보가 시장에 도달 할 때 반대로 정보 투자자는 위험자산에 대한 보유종목 수를 증가시킨다는 결과를 보이고 있다. 따라서 본 논문에서도 두 가지 형태 공적 정보 집합을 분리하여 이론적 결과가 실제 현상에서도 나타나고 있는가를 조사한다. 여기서 공적 정보의 대용치로 애널리스트가 제시한 추천 종목의 투자의견이 사용되며, 펀드 성과지표는 보유종목을 기초로 산출된 값들을 사용한다.따라서 이를 기초로 실증 분석한 결과는 다음과 같다. 첫째, 긍정적 공적 집합에서 펀드 매니저는 공적 정보를 이용하여 주식선택능력 및 평균 스타일 능력을 통해 초과 수익률을 달성할 수 있음을 보이고 있다. 둘째,부정적인 공적 집합에서 펀드 매니저의 공정 정보 이용도 계수는 정의 값을 보여 전체적으로 초과수익률을창출 하는데 주식선택능력, 평균 스타일 능력, 산업선택능력, 거래를 통한 수익창출 능력 등이 존재하고 있다. 결국 한국 펀드 매니저는 공적 정보 유형에 따라 평균적으로 우월한 펀드 수익률을 창출 할 수 있는 능력이 존재함을 알 수 있다