국내 자산운용사의 성과관리 편의에 대한 연구

Somewhat structural problems are hidden in the recent growth of the domestic fund industry. Fund product which is a kind of indirect investment through professionals needs to secure the trust and the reliability to be desirable investment in the market. However, this is not the case in the domestic fund industry. Asset Management Companies leave behind performance management of the existing funds that don’t have good records and establish new funds to make issues in the investment environments at that time and to stimulate the investor’s sentiment. Additionally, investors make irrational investment decisions without rational reviews on various kinds of aspects such as the history or the style of the fund management and inclinations of the fund manager. Consequently, the emergence of long-term large scale fund is delayed, while the demand on the funds has increased through new funds that have not been proven at all. The practice of the expansion of fund sales through the issuance of new funds weaken the position of long-term fund products together with the short-term investment tendency of the domestic investors and mass produce small size funds. It is not good for the Asset Management Companies either as they have to endure the structural problem of high cost and low profit because the average amount of the funds is relatively small although they have to manage a great number of funds. Therefore, there are high probabilities that Asset Management Companies will try to resolve inefficient managerial problems by managing performance focusing on the funds that will give good cost-benefit to them. In such reality of domestic Equity Fund Industry, this research shows the Performance Management Bias phenomenon from the perspective of the fund supplier so to speak Asset Management Companies. We think that is need to identify the problems of domestic equity fund market and the research results are shown below. First of all, all the subject funds are classified as PM Fund (Performance Managed Fund)Group which the Asset Management Companies may have greater desire to manage the performance and NPM Fund (Non-Performance Managed Fund) Group which have less desire. Additionally, through empirically verifying three predefined assumptions on classified fund groups, we specify the Performance Management Bias which is the purpose of this study. The first assumption was ‘The performance of PM Fund is better than that of NPM Fund’. When applying the performance of both groups using Jensen’s Alpha which represents abnormal returns in CAPM, a market equilibrium model, PM funds usually show abnormal returns while NPM funds don’t. When breaking down the causes of such abnormal returns as stock selection ability and sales timing capability of fund managers, there is not much difference between two fund groups in sales timing capability. On the other hand, the stock selection abilities of fund managers are exercised in PM fund group only which result in the differentiated performance in PM funds. The second assumption is ‘Asset Management Companies exercised differentiated performance management on PM Funds.’ During the verification of the assumptions, we find out that the funds, showed good performance in the past, enabled fund managers to perform active investment activities as they have more managing power. However, in PM Group funds,they show higher abnormal returns as the investment become more concentrated, as the fund manager exercises his stock selection ability. On the other hand, in NPM Fund Group funds,fund managers don’t show their stock selection abilities even when the level of investment concentration become higher and don’t realize abnormal returns. In case of sales timing of fund managers, there is no significant difference between two fund groups. In other words, while sales timing capability of fund managers don’t contribute to abnormal returns, stock selection ability of fund managers make two groups’ abnormal return differentiated. The third assumption is ‘Asset Management Companies can get additional cost-benefit by managing the performance of PM Fund more actively.’ to confirm the fund inflow expansion effects of the asset management companies through performance management on PM Funds. When reviewing the cash flow models of asset management companies, we find out that the cash flow in NPM funds as well as that in the whole asset management company increases when the past performance of PM funds is high. It is judged that asset management companies create more effective profit structure through active performance management on PM Funds. In conclusion, asset management companies have active, differentiated, superior performance management on PM Funds which have relatively greater performance_management_desire because of the reality of domestic equity fund market where they have to manage a great number of funds all together. It is judged that such Performance Management Bias of the asset management companies will confuse the investment decision of the investors and aggravate the information imbalance between asset management companies and investors, together with Survival Bias which has frequently been mentioned in previous studies.