증권대차거래를 활용한 펀드수익률 제고방안

초록

This paper analyzes the impact to the rate of return on funds by securities lending and borrowing. At the end of 2011, it was focused on the securities lending and borrowing because of launch a hedge fund in Korea. Testing period included 5 years during 2006〜2010, and used the data of KRX and Korea Securities Depository. As a result, we could verify the rise of return by the securities lending and borrowing. In other words, active funds model took advantage of the securities lending and borrowing and short selling effectively. Actually active funds were estimated increase of return 2.1〜5.7% in the case of 2008. Bond lending and borrowing model was improved the return of funds 1.5〜2.0% by the lending fees and cash depository investment income, these support to Kaplan et al.(2010).

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