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A Study on the Short-Term Informativeness of Transactions by the National Pension Fund

  • Min-Cheol Woo
  • Cheol-Won Yang
This study verifies the short-term informativeness of the National Pension Fund transaction. It also tests whether the National Pension Fund is an informed trader with meaningful private information. There may be contradictory views on this. The National Pension Fund has specialized management personnel with analytical and investment skills that go beyond ordinary people in stock investment in connection with stock management. In addition, the National Pension Fund has a special status with companies in the Korean stock market, which makes it easier for the fund to access insider information than it is for other investors. Because of this, transactions in the National Pension Fund can have information power. However, the National Pension Fund is constrained by various regulations governing active investment in risky assets and is exposed to political influences that may hinder investment efficiency. These factors may make the trading of the National Pension Fund less informative. This problem is examined through empirical analysis. We calculate the daily net purchase of the National Pension Fund using the transaction data provided by the Korea Exchange (KRX). Empirical analysis of stock price predictability is based on the portfolio approach and regression analysis, which are traditionally used in finance. The empirical analysis uses the daily net purchase amount of the National Pension Fund scaled by daily trading volume 1 to 5 days after the trading day. The results of monthly observations are also analyzed through the robustness analysis. The main results of the study are as follows. First, the stock price predictability of National Pension Fund transactions is verified using the portfolio sorting method. When one day¡¯s holdings of returns are calculated, portfolios with a higher net purchase of the National Pension Fund have higher returns than those with a lower portfolio [Check whether this should be ¡°lower net purchase.¡±]. The return on hedged portfolios, which buy the portfolio with the highest net buying value and sell the lowest portfolio, is 1.24% per day with statistical significance. The same results are obtained when we examine the returns after adjusting the risk using the CAPM (capital asset pricing model) and the three-factor model of Fama and French (1993). When the holding period is increased, the statistical significance disappears after 3 days, and the return becomes negative after 4 days. Second, we examine the short-term informativeness of the National Pension Fund transaction according to the characteristics of firms. Empirical results show that stock price predictability is more concentrated on small stocks. A robustness test using regression analysis shows the same results. The regression coefficient is significant when regression analysis is performed using the stock returns as a dependent variable and the net purchase of National Pension Fund as an independent variable. The significance is maintained when other control variables are added. The above results show that National Pension Fund transactions are informative but short-term. The results can be interpreted in two ways. First, the stock price prediction power may be due to short-term (about 1?2 days) private information of the National Pension Fund. There are two ways the National Pension Fund can acquire information. First, it is possible that the National Pension Fund will acquire the inside information of the company using its dominant position as a major shareholder and then deal with it one to two days before the public announcement. However, it is difficult to accept that the National Pension Fund is continuously carrying out such risky illegal insider trading. Another possibility is that the National Pension Fund has an excellent ability to interpret short-term stock price trends. Previous studies report that the National Pension Fund takes a contrarian strategy for the market and individual stock conditions. When the stock price is excessively lower than its fundamental value, the National Pension Fund can buy stocks, and the price may rise afterward. In the same way, when the stock price has risen excessively, the National Pension Fund can sell stocks and make a profit. However, the National Pension Fund has introduced a long-term method of allocating assets rather than investing in a daily portfolio adjustment scheme. In light of these points, the explanation based on short-term private information of the National Pension Fund is not appropriate. The second interpretation is that the predictive power of stock prices is due to the temporary increase in price due to National Pension Fund transactions. There may be price pressures if other traders follow the transactions of the National Pension Fund. Woo and Kim (2018) analyze the possibility that the National Pension Fund transaction could indirectly affect the market by influencing other investors. They find that institutional investors, especially investment trusts and other financial institutions, trade in line with the net buying of the National Pension Fund. Based on these results, it seems reasonable to interpret the empirical findings in this paper as a result of temporary price pressure.
The National Pension Fund,Short-term Informativeness,Price Pressure,Portfolio,Regression