Performance Evaluation of Equity Funds in Korea
We examine performance of actively managed equity funds in Korea for the period from 2002 to 2008 and investigate if fund managers have market timing abilities. We obtain the following findings: (1) average performance of funds evaluated at net return basis(net of expenses) is statistically indistin...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Korea Development Institute
2010-03-01
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| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2010.32.1.97 |
| _version_ | 1819209909844049920 |
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| author | Shin, In seok Cho, Sung bin |
| author_facet | Shin, In seok Cho, Sung bin |
| author_sort | Shin, In seok |
| collection | DOAJ |
| description | We examine performance of actively managed equity funds in Korea for the period from 2002 to 2008 and investigate if fund managers have market timing abilities. We obtain the following findings: (1) average performance of funds evaluated at net return basis(net of expenses) is statistically indistinguishable from zero; (2) average performance of funds evaluated at gross return basis(before netting expenses) exceeds benchmark market returns significantly. More importantly, when funds are grouped by their size of expenses, higher performance is matched with larger expense; (3) the regression results for decomposing positive excessive returns of large-expense funds between market timing and stock selection ability are mixed. The first two findings of the paper are consistent with the Efficient Market Hypothesis a lá Grossman and Stiglitz(1980). Concluding remarks, however, need to be reserved since sources of excessive performance of funds with large expenses are yet to be clarified. |
| first_indexed | 2024-12-23T06:02:47Z |
| format | Article |
| id | doaj.art-7b3493fb70d04374aae4c69a5a3862a1 |
| institution | Directory Open Access Journal |
| issn | 2586-2995 2586-4130 |
| language | English |
| last_indexed | 2024-12-23T06:02:47Z |
| publishDate | 2010-03-01 |
| publisher | Korea Development Institute |
| record_format | Article |
| series | KDI Journal of Economic Policy |
| spelling | doaj.art-7b3493fb70d04374aae4c69a5a3862a12022-12-21T17:57:37ZengKorea Development InstituteKDI Journal of Economic Policy2586-29952586-41302010-03-013219712910.23895/kdijep.2010.32.1.97Performance Evaluation of Equity Funds in KoreaShin, In seok0Cho, Sung bin1 Assistant Professor, College of Business Administration, Chung-Ang UniversityResearch Fellow, Korea Development InstituteWe examine performance of actively managed equity funds in Korea for the period from 2002 to 2008 and investigate if fund managers have market timing abilities. We obtain the following findings: (1) average performance of funds evaluated at net return basis(net of expenses) is statistically indistinguishable from zero; (2) average performance of funds evaluated at gross return basis(before netting expenses) exceeds benchmark market returns significantly. More importantly, when funds are grouped by their size of expenses, higher performance is matched with larger expense; (3) the regression results for decomposing positive excessive returns of large-expense funds between market timing and stock selection ability are mixed. The first two findings of the paper are consistent with the Efficient Market Hypothesis a lá Grossman and Stiglitz(1980). Concluding remarks, however, need to be reserved since sources of excessive performance of funds with large expenses are yet to be clarified.https://doi.org/10.23895/kdijep.2010.32.1.97펀드성과(Fund Performance)효율적 시장가설(Efficient Market Hypothesis)마켓타이밍(Market Timing) |
| spellingShingle | Shin, In seok Cho, Sung bin Performance Evaluation of Equity Funds in Korea KDI Journal of Economic Policy 펀드성과(Fund Performance) 효율적 시장가설(Efficient Market Hypothesis) 마켓타이밍(Market Timing) |
| title | Performance Evaluation of Equity Funds in Korea |
| title_full | Performance Evaluation of Equity Funds in Korea |
| title_fullStr | Performance Evaluation of Equity Funds in Korea |
| title_full_unstemmed | Performance Evaluation of Equity Funds in Korea |
| title_short | Performance Evaluation of Equity Funds in Korea |
| title_sort | performance evaluation of equity funds in korea |
| topic | 펀드성과(Fund Performance) 효율적 시장가설(Efficient Market Hypothesis) 마켓타이밍(Market Timing) |
| url | https://doi.org/10.23895/kdijep.2010.32.1.97 |
| work_keys_str_mv | AT shininseok performanceevaluationofequityfundsinkorea AT chosungbin performanceevaluationofequityfundsinkorea |