한국주식시장에서 펀드매니저의 위험변경 행태에 관한 연구

Abstract

선행연구에 의하면 펀드매니저들은 비대칭적 정보우위를 이용하여 자신의 보상을 극대화할 수 있도록 전략적으로 펀드의 위험수준을 변화시키는 것으로 나타났다. 본 연구는 한국자산운용시장에서도 펀드매니저가 자신의 보상체계를 고려하여 펀드의 위험을 변경시키는지 여부를 규명하고자 하였다. 이를 위해 본 논문은 첫째, 기존의 연구와 달리 펀드매니저에 대한 직접적인 설문조사를 통해 펀드매니저의 업적평가와 보상의 차이가 펀드운용에 영향을 주는지를 분석하였고, 둘째, 펀드매니저가 실제 운용한 펀드의 데이터를 이용하여 펀드수익률의 표준편차 변화에 관한 계량분석을 실시하였다. 이와 같은 분석을 통해 펀드매니저의 위험변경 행태가 보상체계와 관련되어 발생할 가능성이 있는지 여부를 살펴보았다. 펀드매니저에 대한 설문조사 결과 펀드매니저들은 자신의 보상체계를 고려하여 펀드를 운용하는 것으로 나타났다. 펀드매니저들에 대한 보상체계와 관련 있는 요인을 토대로 두 개의 그룹으로 분류하여 분석한 결과 두 그룹 간에 서로 상이한 포트폴리오 변경에 대한 의사결정을 하는 것으로 나타났다. 업적평가와 보상 수준을 중요하게 여기는 펀드매니저 그룹(그룹1)의 경우 포트폴리오 변경에 대한 의사결정을 할 때 펀드의 절대수익률, 자금유입규모, 조직의 의사결정이 중요한 의사결정 요인으로 나타났다. 반면 업적평가와 보상수준을 덜 중요시한 그룹(그룹2)은 경쟁펀드 또는 벤치마크 대비 운용성과가 나쁠 때 포트폴리오 변경을 하는 것으로 나타났다. 이와 같은 결과는 펀드매니저들이 자신의 업적평가와 보상 등 보상체계를 고려하여 포트폴리오를 변경하는 의사결정을 하고 있음을 의미한다. 펀드데이터를 이용한 펀드매니저의 운용행태에 관한 실증분석의 결과는 다음과 같다. 첫째, 한국자산운용시장에서도 Li and Tiwari(2006) 등 기존의 연구결과와 같이 과거성과가 저조한 펀드가 상대적으로 위험을 높이는 것으로 나타났다. 특히 일반주식형펀드와 테마주식형펀드에서 이러한 경향이 더 뚜렷하게 나타났다. 또한 펀드의 운용기간이 짧을수록, 펀드 규모가 소규모일수록 위험변경을 더 많이 한 것으로 나타났다. 이러한 결과는 한국자산운용시장에서도 펀드매니저들이 정보비대칭을 이용하여 자신의 이익을 위해 투자자의 기대와 다른 상당한 위험을 부담하는 펀드운용의 가능성을 보여주는 것이다. 둘째, 위험변경의 효과를 검증한 결과 펀드매니저가 위험을 높인 모든 유형의 펀드들에서 수익률은 좋지 않은 것으로 나타났다. 한편 신규펀드와 소규모펀드는 위험을 높이는 특성이 있음에도 불구하고 펀드들의 성과가 우수한 것으로 나타나 펀드매니저들의 위험변경이 펀드가치 제고에 도움이 된 것으로 확인되었다. 따라서 펀드투자자들은 과거성과가 저조하였고 운용기간이 오래된 펀드의 선택에 신중할 필요가 있으며, 신규설정된 소규모 펀드에 투자함으로써 정보비대칭 문제로 인한 비용을 최소화 할 수 있을 것이다.

주제어 : 펀드매니저, 보상체계, 펀드유형, 위험변경, 정보비대칭| A Study on the Risk Shifting Behavior of Fund Manager in Korean Stock Market

Cho, In Sik Dept. of Business Administration The Graduate School Hanyang University

Directed by Choi, Jong Yeon Dept. of Business Administration Hanyang University

Prior research literature suggested that fund managers strategically change funds' risk levels to maximize their incentives using their superior asymmetric information. This study investigated whether fund managers shift funds' risk levels in connection with their incentive schemes even in the Korean stock market. First, a survey was conducted among fund managers to analyze whether differences in their performance evaluation and incentives affected their fund management strategies. Second, their actual portfolios were analyzed to investigate the features of risk shifting in conjunction with their inventive schemes and to measure changes in fund performance results. The survey results showed that fund managers' incentive schemes strongly influenced their fund management decisions. When the managers were divided into two groups based on their incentive schemes and other related performance evaluation factors, two groups showed clear differences in their portfolio management decisions. Group1(the fund managers who thought that their performance evaluations and compensation levels were important) made their fund management decisions based on the levels of absolute fund return, amounts of new money inflow and decisions made by their affiliated organizations. On the other hand, group2(the fund managers who thought the above factors were less important) changed their portfolios when their funds did not perform well compare to competing funds or benchmark return. These results suggested that fund managers changed their portfolios based on their performance evaluation and compensation levels. This study found the following empirical results using fund data. First, similar to the result found by Li and Tiwari(2006) and other prior literature, funds with poor past performances increased risk also in the Korean stock market. This tendency became prominent in general equity funds and theme funds. Second, fund managers took higher risk more often with relatively new or small funds. These results suggested that contradictory to investors' expectations, fund managers strategically took on substantially higher risk to maximize their incentives using their superior asymmetric information. Third, the analysis on the effects of risk shifting by fund managers showed that the funds that took on high risk performed poorly compared to those that took on less risk. However, relatively new and smaller funds, consequently with high risk, performed well, suggesting that risk shifting by fund managers may increase the fund value. Therefore, investors should be cautious when investing in old and underperforming funds. Furthermore, they could minimize the costs resulting from asymmetric information by investing in relatively new and smaller funds.

Key words: fund manager, incentive schemes, fund types, risk shifting, asymmetric information.; A Study on the Risk Shifting Behavior of Fund Manager in Korean Stock Market

Cho, In Sik Dept. of Business Administration The Graduate School Hanyang University

Directed by Choi, Jong Yeon Dept. of Business Administration Hanyang University

Prior research literature suggested that fund managers strategically change funds' risk levels to maximize their incentives using their superior asymmetric information. This study investigated whether fund managers shift funds' risk levels in connection with their incentive schemes even in the Korean stock market. First, a survey was conducted among fund managers to analyze whether differences in their performance evaluation and incentives affected their fund management strategies. Second, their actual portfolios were analyzed to investigate the features of risk shifting in conjunction with their inventive schemes and to measure changes in fund performance results. The survey results showed that fund managers' incentive schemes strongly influenced their fund management decisions. When the managers were divided into two groups based on their incentive schemes and other related performance evaluation factors, two groups showed clear differences in their portfolio management decisions. Group1(the fund managers who thought that their performance evaluations and compensation levels were important) made their fund management decisions based on the levels of absolute fund return, amounts of new money inflow and decisions made by their affiliated organizations. On the other hand, group2(the fund managers who thought the above factors were less important) changed their portfolios when their funds did not perform well compare to competing funds or benchmark return. These results suggested that fund managers changed their portfolios based on their performance evaluation and compensation levels. This study found the following empirical results using fund data. First, similar to the result found by Li and Tiwari(2006) and other prior literature, funds with poor past performances increased risk also in the Korean stock market. This tendency became prominent in general equity funds and theme funds. Second, fund managers took higher risk more often with relatively new or small funds. These results suggested that contradictory to investors' expectations, fund managers strategically took on substantially higher risk to maximize their incentives using their superior asymmetric information. Third, the analysis on the effects of risk shifting by fund managers showed that the funds that took on high risk performed poorly compared to those that took on less risk. However, relatively new and smaller funds, consequently with high risk, performed well, suggesting that risk shifting by fund managers may increase the fund value. Therefore, investors should be cautious when investing in old and underperforming funds. Furthermore, they could minimize the costs resulting from asymmetric information by investing in relatively new and smaller funds.

Key words: fund manager, incentive schemes, fund types, risk shifting, asymmetric information.