한국 주식형 펀드의 규모효과와 연령효과에 관한 연구: 소외펀드 문제를 중심으로

초록

In this study, we examine the effects of fund size and age on performance in the context of Korean equity funds. The Korean market has a large number of funds, with the funds being characterized by a small size and short life. We divided the sample into five sub-groups by size and used the market-adjusted return model, CAPM, and the Carhart four-factor model to measure risk-adjusted performance. We divided the study period (from 2006 to 2015) into 1st- and 2nd- half sub-periods beginning in 2010, because of the changes in the market environment at that time. We found the following empirical results: Only small funds have a significantly positive size effect; by contrast, the effect is negative in large funds. The age and expense ratio of funds have a negative effect on performance, which is aggravated in the case of small funds. In particular, sales fees have a negative effect, which indicates that sales channels’ services fail to cover investors’ costs. We observed that the size effect takes on a quadratic function, as the optimal size became strikingly lower in the 2nd half. For funds investing in growth stocks, the liquidity hypothesis was supported in the 2nd half. The cash holding ratio does not have a significant effect, which is inconsistent with the results of previous studies. Despite the negative age effect, older funds of larger size had better performance in the 1st half, while older and smaller funds had inferior performance. Finally, we can define small funds that are over 4 to 6 years old as neglected funds.

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