• Korean Management Science Review
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• v.24 no.2
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• pp.57-72
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• 2007

Many Applications of scientific research have coupled with functional data signal clustering techniques to discover novel characteristics that can be used for the diagnoses of several issues. In this article we present an interpretable multi-scale cluster hierarchy framework for clustering functional data using its multi-aspect frequency information. The suggested method focuses on how to effectively select transformed features/variables in unsupervised manner so that finally reduce the data dimension and achieve the multi-purposed clustering. Specially, we apply our suggested method to mutual fund returns and make superior-performing funds group based on different aspects such as global patterns, seasonal variations, levels of noise, and their combinations. To promise our method producing a quality cluster hierarchy, we give some empirical results under the simulation study and a set of real life data. This research will contribute to financial market analysis and flexibly fit to other research fields with clustering purposes.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.16 no.10
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• pp.6534-6542
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• 2015

This study examines the relation between mutual fund performance and fund flows in Korean market using weekly and monthly data. The results are as follows. First, the relation between the two variables varies across fund types. Even the relations in equity fund and index fund are different from each other. Second, the structural change in the mutual fund market affect significantly the relation between the two variables. Third, return chasing flow is observed constantly in bond fund and it is observed only after the structural change for equity fund and MMF. However, no return chasing flow is observed for index fund. Fourth, mutual fund flows affect subsequent fund returns only in MMF after the structural change.

• KDI Journal of Economic Policy
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• v.41 no.2
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• pp.59-79
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• 2019

This study analyzes whether mutual fund distributors are more likely to recommend products with higher sales compensation to maximize their profit. The lists of the 'fund of the month' on their webpages are utilized from April of 2015 to August of 2015. A simple comparative analysis shows that the average sales fees and the average front-end load are significantly higher in the recommended funds among the A share class of domestic equity funds. The results of a regression analysis confirm that funds with high sales compensation levels are more likely to be recommended. This holds true for both domestic equity funds and hybrid bond funds even after controlling for fund age, fund size, and past returns.

• The Korean Journal of Financial Management
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• v.27 no.2
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• pp.35-62
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• 2010

This paper examines the existence of the fund performance persistence and the smart money effect in Korean stock market and tests the flow-induced price pressure (FIPP) hypothesis, that is, fund flows affect individual stock returns and mutual fund performance. This paper also tests whether the FIPP effect can cause the performance persistence using the monthly returns and stock holdings data of 2,702 Korean mutual funds from January 2002 to June 2008. The empirical results indicate that the performance persistence exists significantly for a long time but the smart money effect does not. The hedge portfolio constructed by buying funds with the highest past 12 months performance and selling funds with the lowest past 12 months performance earns 0.11%~1.05% monthly abnormal returns, on average, in 3 years from portfolio formation month, but the hedge portfolio constructed by buying funds with the highest past net fund inflows and selling funds with the lowest past net fund inflows cannot earn positive monthly abnormal returns and the size of negative abnormal returns of the portfolio increase as time goes on. We find the evidence that the FIPP hypothesis is significantly supported. We first estimate the FIPP measure for each individual stock using the trading volume resulting from past fund flows and then construct the hedge portfolio by buying stocks with the highest FIPP measure and selling stocks with the lowest FIPP measure. That portfolio earns significantly positive abnormal return, 1.01% at only portfolio formation month and cannot earn significant abnormal returns after formation month. But, the FIPP effect cannot cause the performance persistence because, within the same FIPP measure group, funds with higher past performance still earn higher monthly abnormal returns than those with lower past performance by 0.08%~0.77%, on average, in 2 years. These results imply that the main cause of the performance persistence in Korean stock market is the difference of fund managers' ability rather than the FIPP effect.

• The Korean Journal of Financial Management
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• v.24 no.1
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• pp.85-107
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• 2007

In this study, I analyzed determinant factors of mutual fund return. The samples was distributed into three types according to the ratio of included stocks in funds. The proxies of mutual funds were set up three ways(returns of fund). As a result of the analysis, I found that growth positively affect to fund return, abnormal return and adjusted abnormal return in all samples. While, according to three types of sample, expected and unexpected fund cash flows had differently effect on fund return. Inferentially, it seemed that the ratio of included stocks in fund was the cause of that. But price pressure hypothesis are not supported. In conclusion, it was not found the possibility of stock market disturbance in this analysis.

• The Korean Journal of Financial Management
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• v.17 no.2
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• pp.99-124
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• 2000

폐쇄형 뮤추얼 펀드의 시장가격이 펀드의 순자산가치와 일치하지 않는 이상현상은 일찍이 재무분야에서 제기된바 있는 의문현상 중의 하나이다. 펀드의 프리미엄과 기대운용성과에 관한 연구 결과는 여전히 혼재된 상태이다. Chay and Trzcinka(1999)의 연구에 의하면 미국의 주식형 펀드는 평균 8.61% 할인되어 거래되고 있고 표준편차는 10.93%로 나타나고 있다. 우리나라의 성장형 펀드의 경우 약 8.06% 할인율을 가지고 있고 펀드간에 9.35%의 표준편차를 보이는 것으로 나타나고 있다. 본 연구는 1999년 4월말부터 2000년 8월말까지의 국내 성장형 뮤추얼 펀드의 일별 프리미엄과 순자산가치 수익률을 이용하여 펀드의 현재 프리미엄이 미래 기대운용성과 및 미래 기대시장위험에 대한 정보를 반영하고 있는지를 검정하였다. 국내 성장형 펀드의 프리미엄과 기대운용성과 간의 실증분석 결과, Malkiel(1977), Thompson (1978), Pontiff(1995) 등의 연구와 마찬가지로 시장에서의 펀드 프리미엄과 미래 기대운용성과 와의 관계는 음(-) 또는 영(0)의 관계를 보였다. 과거의 운용성과와 미래의 기대 운용성과 간의 관계에서는 비유의적인 양의 관계를 갖는 것으로 나타나 많은 기존 연구들에서 보여 주었던 과거 운용성과와 기대 운용 성과간의 평균유지현상이 국내 시장의 경우 잘 나타나지 않는 것으로 보고되었다. 국내 펀드의 프리미엄과 기대시장위험에 관한 관계에서는 일정한 음의 유의적인 관계가 있는 것으로 나타나 Pontiff(1995)의 연구 결과와 유사한 것으로 나타났다.