국내 주식형펀드의 특성과 펀드성과 간의 관계에 대한 연구

This study provides a comprehensive examination on recent fund performance by analyzing a large set of both mutual funds and fund attributes in Korea. Numerous variables are considered from a list of explanatory variables used in previous studies that link performance to firm-specific characteristics. The samples of the study are collected after adjustment of survivorship bias. A modified Jensen's alpha for a fund is estimated from the Fama-French 3 factor model to be used as dependent variables. The full model for regression comprises a base model and an extended model. The former accounts for general market conditions and fund investment objective, while the latter considers 16 individual factors and characteristics variables that impact fund performance in addition to a persistence variable. The study shows mixed results for the hypothesized relationship between performance and the explanatory variables. On one hand, the variables for total fund assets, fund flow and age of fund are positively related to fund performance. On the other hand, the variables for net asset value, relative holding and PER are negatively related to fund performance. The rest of independent variables such as market capitalization, number of holdings, relative NAV, expense ratio and management fee ratio have no significant effects on fund performance. Finally, after controlling for fund-specific factors as well as economy-wide factors, the results refute the performance persistence phenomenon.