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주식형 펀드 성과와 순현금흐름의 지속성 : 탐색적 연구

  • 하연정 한국과학기술원(KAIST) 금융공학연구센터 박사후 과정
  • 백미연 부산대학교 대학원 경영학과 박사 과정
  • 왕야핑 부산대학교 대학원 경영학과 박사 과정
  • 고광수 부산대학교 경영대학 경영학과 부교수
본 연구는 과거 성과와 순현금흐름 간의 관계가 존재한다는 기존 연구를 토대로 과거 성과 측정 기간의 효과와 과거 성과에 따른 순현금흐름의 지속성을 검증하였다. 2004년 1월에서 2012년 6월까지의 분석 기간 동안 우리나라 펀드 시장은 단기간에 비약적인 성장을 이루었고, 주식 시장 또한 변동성이 매우 컸다. 이러한 펀드 시장 상황에서 펀드 과거 성과에 따른 순현금흐름을 분석하여 과거 성과 정보의 효과를 분석하였다는 데에 본 연구는 의미를 가진다. 공모 주식형 펀드 412개를 이용하여 성과별 포트폴리오 분석 및 회귀 모형을 추정한 결과는 다음과 같다. 첫째, 과거 12개월 성과가 미래 순현금 흐름에 가장 크게 영향을 주었다. 둘째, 과거 성과에 따른 순현금흐름의 지속성은 6~ 12개월로 펀드 투자자가 과거 성과를 미래 6~12개월 동안의 투자 의사결정에 반영함을 알 수 있었다. 셋째, 성과 측정 방법을 다양화하여도 과거 성과 측정 기간의 효과, 순현금 흐름의 지속성에 대한 결과는 변함이 없었다. 넷째, 2008년 금융위기는 과거 성과와 순현금흐름 간의 관계 및 과거 성과에 따른 순현금흐름 지속성을 약화시켰다.
펀드 성과; 펀드 순현금흐름; 순현금흐름의 지속성; 정보 효과; 금융위기의 효과; Fund Performance; Net Flows; Flow Persistence; Information Effect; Global Financial Crisis

Equity Fund Performance and Flow Persistence : Exploratory Analysis

  • Yeonjeong Ha
  • Miyoun Paek
  • Yaping Wang
  • Kwangsoo Ko
Based on the relationship between fund performance and the subsequent net flows, this study examines the net flow persistence. Earlier works have focused largely on the positive relationship between fund performance and the subsequent net flows. The most valuable information for fund investment is the past performance of each fund, yet one fund investor may consider the previous 6-month performance most important while another focuses on the previous 36-month performance. Investors’ interpretations of the concept of ‘past performance’ vary, and fund performance affects fund investors’ investment horizons differently. The economic motivation for this study is how fund investors use past fund performance to inform decision making, and how long their responses persist. In this study, we answer the following questions. First, what is the period for measuring past fund performance that has the most significant effect on net flows? Although earlier studies have fixed the past performance period, we use several past periods for measuring fund performance such as 1, 3, 6, 12, and 36 months. Some investors may chase the prior 1-year fund performance while others note the prior 2-year performance. Although different fund investors may make different investment decisions according to the prior fund performance, there could be a period that has the most influential effect on fund investment decisions. Second, how long does the fund performance affect the net flows? To the best of our knowledge, most studies have examined the relationship between the prior fund performance and the subsequent 1- or 3-month net flows. We take a different approach. The past performance of equity funds may affect future flows, but as time passes, the effect disappears. The net flows may follow fund performance for 1 month, 3 months, or longer. We define this duration effect of past performance as ‘flow persistence’ and it reflects the response duration of fund investors. The existence of flow persistence can be explained as follows. The fund performance information may be realized by fund investors after a time delay, or the fund investors may react to the information slowly. In this study, we test the flow persistence by examining the subsequent 1, 3, 6, 12, 24, and 36 months’ net flows following past performance. This concept of flow persistence is significantly different from the performance persistence of equity funds. Our goal is to provide an overall perspective on how fund investors react to past performance information. We measure the equity funds’ performance in multiple ways while analyzing the effects of past period performance and flow persistence; that is, past performance is measured by cumulative return, 1-factor alpha, 3-factor alpha, and 4-factor alpha. Each alpha is a risk-adjusted return. During the sample period, which ran from January 2004 to June 2012, the Korean fund markets were severely hit by the global financial crisis that originated in the U.S. Before the crisis, the fund markets were growing rapidly, but during the crisis, the global and Korean stock markets were sluggish, which led to the poor performance of equity funds. Numerous fund investors were surprised by plummeting fund returns. As a consequence, equity fund redemptions increased in the post-crisis period. In this study, we divide the entire period into two sub-periods, pre- and post-crisis, to determine the effect that the global financial crisis had on the relationship between fund performance and net flows. The empirical findings are as follows. First, the 1-year performance has the most significant influence on the net flows of equity funds, which implies that fund investors make their own investment decisions largely based on the prior 1-year performance rather than other performance periods. Our results support earlier studies that use prior 1-year performance as information to predict subsequent net flows. Second, the flow persistence lasts for 6 to 12 months. This reveals that prior fund performance affects the subsequent future net flows for 6 to 12 months. Third, we also test the effects of the past performance period and the flow persistence by measuring fund performance in many different ways. Additional tests prove the robustness of our results. Finally, we find that both the flow-performance relationship and the effect of flow persistence weaken during the post-crisis period. This study tests the effects of past fund performance as information for predicting subsequent net flow. We believe that our findings could provide new perspectives on how fund investors respond to past performance as information.