지리적 접근성이 국제투자펀드의 성과에 미치는 영향 : 일본과 중국 투자펀드를 대상으로

Despite the globalization of international capital markets, the majority of investment volume goes to local markets. Very little research has been conducted to test the validity of this ‘home bias’ phenomenon in international capital markets. This study aims to test the relationship between the geographic distance and investment performance with funds that invest in Japan and China. For this purpose, using Thomson Financial International Mutual Fund data for the period between 2000 and 2007, we selected funds that invested in Japan and China. We divided the funds into the ‘Asia’ and ‘Others’groups depending on whether they were managed in Asia (the local region)or Others (remote regions) to compare local and remote funds in terms of performance. We can summarize our test results as follows. First, the raw return of funds managed in Asia and that of funds managed in Others are compared. The difference between the two groups is not significant for both Japan and China funds. On the other hand, when we compare the performance of the Asia group with that of the Others group in relation to each of four quartiles identified with respect to performance,the Asia funds show better performance in the bottom quartile whereas the Others funds show better performance in the top quartile. This difference is more prominent during the bearish period but not clear during the bullish period for both Japan and China funds. Second, we compare funds managed in Asia with those managed in the Others region in terms of the risk‐adjusted return. Both Jensen’s alpha and the Carhart four-factor model are used to compare the risk-adjusted returns. Again, there is no significant performance difference between funds managed in Asia and funds managed in the Others region as a whole, but the Asia group outperforms Others in the bottom performance quartile while the Others group outperforms Asia in the top performance quartile. We can describe the above results as follows: there is less variance in the investment performance across managed funds that are geographically proximate. Third, we conduct performance-attribute analysis using the Daniel,Grinblatt, Titman, and Wermers (1997) method. We find that in terms of the characteristic selectivity (CS), the Asia group is better than the Others group only in the bottom performance quartile whereas the Others group is better than the Asia group in the top as well as second quartiles. These results hold regardless of whether the market is bullish or bearish for both China and Japan funds. In terms of the characteristic timing (CT), we find a slightly different result. In the bottom-quartile comparison, the Asia group is better regarding both Japan and China funds, but in the top-quartile comparison,the Others group is better for only Japan funds and not China funds. Furthermore, when we consider the market condition, we find that the Asia group has better timing ability in every performance quartile under the bullish market condition, while the Others group has better (Japan) or equally good (China) timing ability in only the top quartile under the bearish market condition. In sum, we find that at the top tier, fund managers in the remote region are very competitive despite their geographical distance and do not seem to have any disadvantage in accessing local information. On the other hand, the geographic distance still matters for the low-performance group in the remote region as they consistently underperform low performance group in the local region. Then, we further examine how remote managers in the top quartile not only are competitive, but even outperform local managers in the top quartile. We find that the better performance of the Others group in the top quartile is based mostly on their better performance in the bearish period since there is no significant performance difference in the bullish period. Therefore, we would interpret this result as follows : the Others group is better in fundamental analysis and risk management, which is rewarded more during the bearish period. The additional performance-attribute analysis supports this proposition since the Others group shows better ability in stock selection whereas the Asia group shows better ability in market timing. These study results can provide valuable lessons for the international fund management industry in deciding their management location and has an academic contribution as it tries to extend Coval and Moskowitz’s (1999,2001) research to the international fund domain.