Time-Varying Fund Manager Skill in Korea

• 발행기관: People & Global Business Association
• 저자명: 신정철(Jung-Cheol Shin) 정문경(Mun-Kyung Cheong) 김용현(Yong-Hyeon Kim) 김경하(Kyoung-Ha Kim)
• 간행물 정보: 『Global Business and Finance Review』Vol.26 No.2, 1~17쪽, 전체 17쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2021.06.30

영문 초록

Purpose: This study utilizes the KNV measure to evaluate performance of national pension funds of Korea. Design/methodology/approach: First, this study investigates whether fund managers pick stocks in expansions and time the market in recessions. Second, we examine skilled funds that have both high picking skill in booms and high timing skill in recessions. Third, we examine whether skilled managers have timing ability as well as picking ability. Finally, persistence of skill indexes is investigated. Findings: First, market timing skill is more relevant in recessions whereas stock selection skill is more relevant in expansions. Second, the performance differences between superior and inferior funds are persistent over one-year. Finally, there is no evidence that the same fund managers who display superior stock picking skill in expansions show superior market timing skill in recessions. Research limitations/implications: Since no institutions or organizations provide real-time indicators of the business cycle, switching strategy between timing and picking is not available. Originality/value: This is the first research to analyze the national pension fund using KNV methodology in the Korean market.

목차

I. Introduction

II. Literature Review

III. Data and Methodology

IV. Empirical Results

V. Conclusion

Acknowledgments

References

키워드

National pension fund Business cycle Market timing Stock selection