국내상장 미국 주식형 상장지수펀드(ETF)의 성과요인 분석: 투자자 관점에서의 고찰

Recent advances in technology have increased the accessibility of information about overseas financial markets, leading to an increase in individual investors’ interest in investing in foreign assets than in the past. This trend can be beneficial for effectively achieving diversification of financial assets held by individual investors. In particular, for mid- to long-term investments, such as those made through retirement deposits or pension accounts, domestically listed foreign stock exchange-traded funds (ETFs) are a reasonable and necessary investment option. However, despite the growing interest, few studies have analyzed the factors influencing the performance of foreign equity ETFs due to a lack of accumulated data. This study aims to identify the factors affecting the performance of domestically listed U.S. equity ETFs by analyzing daily returns from October 2010 to May 2024. Using a panel two-way fixed-effect model with year and individual ETFs as fixed effects, we consider both explicit costs from the investor's perspective and the bidask spread as a proxy for implicit costs related to ETF liquidity. We find that NAV-based returns are more sensitive to costs than market price-based returns. This suggests that in the market, investors tend to overreact, responding more significantly to changes in investment costs than to intrinsic value fluctuations measured by NAV. Additionally, when comparing hedged ETFs to unhedged ETFs relative to the USD/KRW exchange rate, unhedged ETFs performed better. The reduction in returns from hedging was significant, around 4.9%(4%) on an annualized NAV(market-price)-based return. Regarding ETF composition and replication methods, performance ranked highest in the order of physical (passive), synthetic (passive), and physical (active) ETFs, especially when assessed on a NAV basis.