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자산운용사와 혼합형 펀드의 교차자산보유에 관한 실증 연구

  • 신현한 연세대학교 경영대학 교수
  • 어준경 연세대학교 경영대학 조교수
  • 최병호 연세대학교 경영대학 박사과정
본 연구는 우리나라 자산운용사가 운용하는 펀드의 자산 데이터를 이용하여 운용사 내에서 주식형과 채권형 펀드 간 가치 관련 정보의 교류가 있는지 실증 분석하였다. 분석 결과, 동일한 운용사에 속해 있는 펀드라도 같은 발행사의 주식과 채권 보유 결정에서 뚜렷한 상관관계를 찾을 수 없었다. 반면 주식과 채권이 같은 펀드 매니저에 의해서 운용되는 혼합형 펀드 내에서는 동일한 발행사의 주식과 채권 보유 변화량 간 유의미한 양의 상관관계를 발견하였다. 하지만 이러한 상관관계는 정보의 교류에서 비롯된 것이 아닌, 펀드에 유·출입되는 현금흐름에 따라 포트폴리오의 비중을 비례적으로 조정하는 스케일링(scaling) 효과에서 발생한 것으로 나타났으며, 이러한 스케일링에 기반한 투자는 미래 수익률 관점에서 부정적인 영향을 미칠 수 있음을 밝혔다. 본 논문은 같은 자산운용사 내에서도 주식과 채권의 투자결정 동조화가 일어나지 않을 정도로 주식과 채권 운용의 분리 정도가 상당함을 시사하며, 정보의 교류가 아닌 비 정보적 편의 (non-information-driven convenience)로 인한 투자의사결정은 부정적인 수익률을 초래할 수 있음을 보였다는 점에서 의의가 있다.
자산운용사; 혼합형 펀드; 시장 분리도; 스케일링 효과; 교차자산보유;Fund Family; Mutual Fund; Market Segmentation; Scaling Effect; Cross-Asset Holding

Cross-Asset Holding in Fund Families

  • Hyun-Han Shin
  • Jun Kyung Auh
  • Byoungho Choi
It is commonly known that investors in equity and bond markets are significantly different in terms of risk tolerance, information focus, and institutional composition. In the presence of such asset market segmentation, do better-integrated investors exhibit atypical investment decisions using equity and bond mutual funds within the same fund family (sister funds)? Auh and Bai (2019) document that investors’ holding decisions co-move on equity and bonds of the same issuer (cross-held asset), indicating that there is information spillover. They also show that fund families provide superior investment returns for cross-held assets. This result suggests that information content in the two asset markets is not redundant, and that combining information from both markets provides more complete information for firms. In this paper, we test whether the same phenomenon can be observed in Korea. In contrast to the strong co-movement reported in Auh and Bai (2019), we do not find any meaningful correlation in the holding decisions on cross-held assets. This insignificant correlation remains unaffected even after we consider several possibilities that may obscure the true nature of trading behavior. This stark contrast can be driven by several factors. First, asset market segmentation is particularly severe in Korea, as reported by Yang (2013) and Yoon and Ohk (2014), such that even investors in the same institution are not exposed to any information spillover. Second, the corporate bond market in Korea could be too illiquid for any subsequent holding changes to occur regardless of information spillover. To explore these two explanations, we exploit investment decisions on cross-held assets within a set of mixed funds whose asset class mandatorily covers both equity and bonds. It is reasonable to argue that information spillover is more feasible within an individual fund, and it is therefore a test of the degree of asset market segmentation. We find a strong positive correlation with cross-asset holding change from mixed funds. This result immediately rules out the illiquidity-based explanation because sister funds and a mixed fund face the same level of bond market illiquidity. We further examine whether bond sister funds and mixed funds hold bonds that are significantly different from each other in terms of liquidity-related characteristics (e.g., credit rating). However, we do not find any meaningful differences, and we thus confirm that the differences in the results cannot be attributed to heterogeneous bond holdings between the two types of funds. We further investigate the main driver of co-movement. If co-movement is mainly motivated by information spillover, then the investment performance of the cross-held asset must be at least similar to or better than the same asset holding of standalone funds (non-sister-funds). Surprisingly, our results show that cross-held assets are subject to inferior investment decisions from the perspective of ex-post performance evaluation. This finding suggests that the co-movement is not driven by price-relevant information sharing. In particular, the degree of co-movement is strongly affected by the fund flow: it is only significant when funds experience a large degree of fund flow (more than ±5% flow to the assets under management). The mixed funds therefore appear to scale the whole portfolio up or down in response to the fund flow, mechanically generating co-movement of the cross-held assets. As a final test, we examine the effect of mechanical adjustment of fund flow fluctuations on return predictability. The significance of inferior investment decisions disappears when the co-movement is not driven by scaling behavior (i.e., with a small degree of change in fund flow). However, the investment performance of the cross-held assets becomes worse when decisions are associated with a larger variation in fund flow. These results indicate that scaling adjustment is a dominant factor driving ex-post negative fund returns. Previous research on mutual funds in Korea has mainly focused on equity mutual funds. Our paper provides a natural expansion of the research domain given the recent study of cross-asset holding. In particular, we show that there is no meaningful interaction across different asset markets within a mutual fund family in Korea. Even within a mixed fund, it appears that information from both markets is not actively used beyond what is caused by a mechanical scaling adjustment. These findings provide strong support for substantial segmentation between the equity and bond markets in Korea. Finally, we demonstrate that such non-information-driven holding changes are, on average, associated with worse future returns.