연금펀드에 대한 조세지원 정책이 자본시장에 미치는 영향

Pension savings funds are subject to the tax incentive policies which is called pension taxation. Contribution deductions within certain limitation are applied in the contribution stage, tax exemptions are applied in the management stage, and low tax rates on the pension income are applied in the payout stage. Furthermore, pension incomes are not subject to financial income composition taxation. Therefore, pension funds could be seen as a comparatively more tax-favorable asset compared to normal funds. Pension savings funds after the tax revisions become comparatively more tax-favorable compared to pension savings funds prior to the revisions if the favorable tax treatments are widened each year following revisions to tax regulations. If these tax factors are considered, it is expected that the rate of return of pension savings funds in the asset management market change significantly owing to implicit tax effects in the case of favorable revisions to tax regulations. Meanwhile, there are differences in their taxation schemes and in application of special taxation between normal funds and pension saving funds. Revisions to tax regulations whereby tax benefits of normal funds are discontinued or bestowed, while not being direct tax benefits to the pension saving fund, influence pension savings funds and meaningfully vary the targeted AUM for pension savings funds. Pension savings funds, while given tax benefits, are financial products that require long-term maintenance periods or pension-type collections. The revisions to tax regulations relating to liquidity easing of pension product funds during the period of analysis are expected to have a significant influence on the variance of fund redemption amounts. With taking account of issues related to taxation on pension saving funds and normal funds, this study seeks to analyze whether tax factors, such as tax incentive policies or the difference in taxation methods for pension savings funds and normal funds, significantly influence investments in pension savings funds, through variances of yield, targeted AUM, and cancellation amounts of pension savings funds. To this end, this study checked investors’ response to tax law revisions in the capital markets, especially in asset management market, where tax-favored assets are traded. The data used in this study are from the software DataGuide from FNGuide Inc., a fund rating company. These data are based on disclosure data from the Korea Financial Investment Association, and contain basic information on individual fund and management companies, such as returns, net assets, management fees, and management methods. Among all the funds provided by DataGuide, the sample for this study is all pension funds with more than 1 year of operating history from January 2004 to June 30, 2015. As results of regression on this study, it is confirmed the significant influence of tax factors on the returns, targeted AUM, and redemption amounts of pension savings funds. First, in the year with favorable revisions to tax regulations on pension savings funds, there were decreases in before-tax returns and generally significant negative coefficients. These results are considered to reflect the implicit tax effects of tax benefits. However, the before-tax variance of 2014, with mixed revisions, and 2015, with favorable revisions, did not match expectations. This indicates that the revisions in these years did not influence the before-tax returns of pension savings funds. Next, it was observed that tax regulation revisions favorable for normal funds caused the targeted AUM for pension savings funds to decrease, and unfavorable tax regulation revisions for normal funds caused the targeted AUM for pension savings funds to increase. Lastly, as expected, the redemption amounts were found to increase following tax regulation revisions that were favorable for easing the liquidity constraints of pension savings funds. The majority of previous studies suggest that because tax factors influence yields, tax factors must be considered in the investors’ decision-making process. These studies focus on markets in which traditional financial assets, such as stocks and bonds, are traded via direct investment, and studies on funds and collective investment vehicles are limited. However, this study is unique in its analysis of diverse tax factors, such as changes in tax incentive policies for pension savings and differences between tax systems for pension savings funds and normal funds, and their influence on pension savings fund markets. It does so by focusing on a pension savings fund market with limited prior studies, and reflecting control variables that can influence fund performance. This analysis is meaningful in its analysis of the influence of tax factors focused on pension savings funds traded in thinly researched asset management markets. It empirically confirms the influence of tax support policies that directly support old-age preparation in asset management markets, and deduces useful policy considerations as a result.