뮤추얼펀드 성과의 지속성에 관한 연구

Abstract

This study is to analyse whether gains of mutual fund persist or is reversed in stock markets in our country, and whether persistent performance may be explained by factors to explain stock earning rate. For the purpose, this study considered the mean earning rate of portfolio based on the results of the past mutual fund as a subordinate variable, and value adding market earning rate, SMB, HML and LMW as independent variables to conduct a time-series regression analysis. The results of the analysis are summarized as follows: First, a fact was found that mutual fund performance is not persisted but reversed in stock markets. That is, it is demonstrated that the mean earning rate of P1 made of the funds with low gains had a statistically significant positive excess earning to 5% between one and two weeks of holding period in comparison with that of P3 made of the funds with high gains in the past. Second, this study found an evidence that reverse effect of mutual funds is influenced by value adding market earing rate, SMB and LMW, not by HML. This study concluded that mutual fund performance is reversed in a short term, and it is contradictory to persistent performance of mutual fund in the United States' stock markets analysed by Carhart(1977). It is expected that this study will contribute to development of new investment strategies for investors on mutual funds by presentation of reverse effect of mutual fund in stock markets.