지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2011.5
- 수록면
- 359 - 404 (46page)
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초록· 키워드
오류제보하기
This paper investigates whether Korean fund managers possess market timing ability by considering portfolio holdings. Early studies employing return-based timing measures typically provided evidence of limited or no market-timing ability for mutual fund managers in the U.S., the U.K., and Australia, among others. By contrast, more recent studies employing measures based on portfolio holdings, most notably Jiang, Yao, and Yu (2007), have suggested that U.S. mutual fund managers have such ability. In this regard, this study is the first to provide an in-depth analysis of the performance of Korean fund managers by considering a comprehensive sample of fund holdings and using tests based on fund holdings and those based on returns, as in Jiang, Yao, and Yu (2007). Our empirical results indicate that, on average, active managers of equity funds have positive market-timing ability for longer forecast horizons. In addition, we find that stock pickers may be attributed to market timers only for short forecast horizons. In further analysis, market timers are characterized by small funds, low expenses, high industry concentration, and large-cap stocks for short forecast horizons, and actively managed equity funds use private information to predict market returns. These results are consistent with the findings of Jiang, Yao, and Yu (2007) and the implications of these empirical results suggest that Korean fund managers utilize market timing to enhance the performance of their actively managed equity funds.
목차
1. Introduction
2. Market-Timing Measures
3. Data and Summary Statistics
4. Empirical Results
5. Additional Analyses
6. Conclusion
References
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UCI(KEPA) : I410-ECN-0101-2016-323-001231391