earticle

영어

Equity funds that invest primarily in equities are exposed to both market risk and cross-sectional systematic risks. However, Barber, Huang, and Odean (2016) and Berk and van Binsbergen (2016) show that investors in the U.S. mutual fund industry mostly consider the market risk (beta) when evaluating funds and treat the returns attributable to other systematic risks as alpha. Thus, the capital asset pricing model (CAPM) alphas are the best predictors of fund flows among the competing performance evaluation models. Indeed, Barber, Huang, and Odean (2016) and Berk and van Binsbergen (2016) show that investors take into account the realizations of aggregate risk factors when assessing the performance of mutual funds. Similarly, Berk and Green (2004) use a rational model to demonstrate that investors learn about a manager’s ability from past returns. Based on the work of Berk and Green (2004), Barber, Huang, and Odean (2016), and Berk and van Binsbergen (2016), Franzoni and Schmalz (2017) investigate the flow-performance sensitivity of mutual funds across market states and show that the sensitivity changes across market states. They assume that the fund investors are Bayesian investors who are uncertain about the degree to which the fund returns are exposed to systematic risk. In extreme periods, defined as periods of very high or low market excess returns, they find that the flow-performance sensitivity is weaker because fund investors have difficulty estimating the skill of fund managers. In line with Franzoni and Schmalz (2017), Starks and Sun (2016) find that the fund flow-performance sensitivity decreases during periods of economic uncertainty. In this study, we investigate the equity fund flow-performance sensitivity across market states in the Korean fund market. Sirri and Tufano (1998) and Huang, Wei, and Yan (2007) show that search costs or participation costs are an important determinant of fund flows, emphasizing the convex relationship between flow and performance. Because a fund investor cannot evaluate all of the funds in the fund market, the fund flows are concentrated in high-performing funds. However, Ferreira, Keswani, Miguel, and Ramos (2012) show that the participation costs have declined over time as the U.S. mutual fund industry has matured, thereby weakening the convex flow-performance relationship. However, in the emerging fund market of Korea, the flow- performance relationship is strongly convex because the investors are less sophisticated. In fact, during the 2008 global financial crisis, there was a massive redemption of equity funds because the less sophisticated investors were not aware that the fund returns could move in line with the market returns. In contrast to the U.S. mutual fund market, in which investors acknowledge the fund market risk, there may be a lack of awareness of the fund market risk in the Korean fund market. Thus, we also examine the effect of market risk on equity funds in the flow-performance relationship. The aims of this study are as follows. First, drawing on Franzoni and Schmalz (2017), we analyze the flow-performance sensitivity across different stock market conditions. Using Fama and Macbeth’s (1973) monthly cross-sectional regression, we divide the entire period into three periods of down-, moderate-, and up-market depending on the market risk premium and divide the periods into negative and positive periods. Second, to examine the effects of an equity fund’s market risk, we investigate the fund flow response to the fund’s raw returns (i.e., the absolute returns without adjusting the benchmark returns) and market-adjusted returns (i.e., the raw returns minus the market returns). We then use the pooled regression model to estimate how the fund flows respond to the raw returns and the market-adjusted returns divided by the negative and positive returns, respectively. Our results are as follows. First, in contrast to Franzoni and Schmalz (2017), we find that the flow-performance sensitivity in the Korean fund market increases significantly during the up-market periods and the positive periods in which the market risk premium is high. This suggests that Korean equity fund investors expect high absolute positive returns and respond more sensitively to the performance of the funds in such market conditions. Second, we find that the fund risk does not affect the flow-performance relationship, thus indicating that the fund investors do not respond to the fund risk. Third, the flow-performance relationship is significant only when the raw returns are positive for the entire period. Finally, the flow-performance relationship is only observed when the raw returns are positive regardless of the fund size, age, and performance evaluation period. The results of this study suggest that unlike in the developed U.S. mutual fund market, the fund investors in the Korean equity fund market do not regard market risk as a risk and expect high absolute raw fund returns. This suggests that fund investors in Korea need to recognize the inevitably of market risk and invest in funds as a means of long-term investment.

한국어

Barber, Huang, and Odean(2016), Berk and van Binsbergen(2016)은 미국 뮤추얼 펀드 투자자는 시장 위험만을 펀드 위험으로 보고 다른 위험 요인과 관련된 수익률은 알파로 간주함을 보였다. 이에 근거하여 Franzoni and Schmalz(2017)는 시장 변동성이 높은 기간에는 펀드 투자자의 성과 추론 능력이 약해져 성과-현금흐름 민감도가 줄어든다고 하였다. 이에 본 연구는 우리나라 주식형 펀드를 대상으로 시장 상황에 따른 성과-현금흐름 관계를 분석하고, 펀드 시장 위험에 대한 투자자의 반응을 검증하였다. 분석 결과는 다음과 같다. 첫째, Franzoni and Schmalz(2017)와 달리 시장 위험 프리미엄이 높은 기간에 성과-현금흐름 민감도가 강해졌다. 둘째, 펀드 위험은 성과-현금흐름 관계에 영향을 주지 않았다. 셋째, 전체 기간을 대상으로 펀드 순 수익률(벤치마크 수익률이 조정되지 않은 절대 수익률)과 시장 초과 수익률에 대한 현금흐름 반응을 분석하여, 순 수익률이 양(+)일 때만 현금흐름과의 관계가 유의적이었다. 넷째, 펀드 규모 및 연령, 성과 측정 기간은 분석 결과에 영향을 주지 않았다. 본 연구는 선진화된 미국 뮤추얼 펀드 시장과 달리 우리나라 주식형 펀드 투자자는 시장 위험을 위험으로 간주하지 않아 절대적으로 높은 펀드 순 수익률을 기대하고 있다는 것을 보였다. 이는 펀드 투자자가 펀드 시장 위험이 필연적으로 존재함을 이해하고, 장기적인 투자 수단으로서 인식할 필요가 있음을 시사한다.