국내 펀드투자자의 펀드자금흐름과 처분효과에 관한 연구

초록

In this paper, we examined the disposition effect issue in the Korean mutual fund market. To examine the disposition effect controversy, we employ a Korean data set(January 2001 to May 2008) of monthly fund inflows and outflows differentiated between individual and institutional investors. These data allow us to conduct a test for the disposition effect by using monthly data on exact fund flows, and to gain greater insight into investors' decisions by considering separately the buys and sells of individual and institutional investors. Using Carhart(1997)'s four-factors model, we analyze empirical relationship between fund's risk-adjusted excess return and fund flows. We don't find that mean ratio of redemption in the capital gain funds is higher than that in the capital loss funds. And the difference between the means is not statistically significant. It is interesting to find that there is a negative-linear relationship between ratio of redemption and risk-adjusted excess returns. So probably it means there is no disposition effect to fund manager. But these results suggest that there is possibility of the disposition effect to individual fund investors.

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