| Style, Intertemporal, and Cross-Sectional Analysis of Equity Mutual Funds in Korea |
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Dong Cheol Kim, Shin Ik Yoo |
| 일반화 군집분석법을 이용한 국내 주식형펀드의 스타일 분석 |
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김동철, 유신익 |
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| Abstract |
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This paper analyzes the style of equity mutual funds in Korea by using the generalized style classification (GSC) method that takes account into both intertemporal and crosssectional characteristics of the funds. The GSC is a method of classifying funds by integrating time-series regression and clustering analyses, and it computes the expected returns of the funds and classifies the funds by clustering funds according to their characteristics. Thus, the GSC needs a factor model to compute expected returns. We find the following results. First, the GSC that is combined with the Fama and French 5-factor model (FF5) (1993) provides the best goodness-of-fit to verify fund styles and has the best predictive power for future fund performance. Second, the fund styles publicly announced by fund managers are much different from those classified by our model, GSC-FF5. However, large-sized funds tend to keep the styles consistent with those classified by our model. |
| Key Words:
공표된 펀드스타일,스타일미준수,일반화 군집분석법,주식형펀드 스타일,Announced Fund Style,Clustering Analysis,Fama-French 5요인 모형,Fama-French 5-Factor Model,Fund Style,Generalized Style Classification |
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