지리적 접근성이 국제투자펀드의 성과에 미치는 영향: 일본과 중국 투자펀드를 대상으로

박영규 ( Young K. Park ),송인욱 ( In Wook Song ) 한국금융학회 2010 금융연구 Vol.24 No.3

최근 들어 글로벌 자본시장이 단일화 되고 있음에도 불구하고, 지리적 접근성과 정보 접근성의 관계 및 투자자들의 Home Bias(근접지역 주식선호) 현상에 대한 국제적(Cross Border) 차원의 연구는 거의 이루어지지 못했다. 이에 본 연구는 일본과 중국시장에 투자하는 펀드를 대상으로 펀드투자지역과 운용지역간의 지리적인 접근성이 펀드성과와 관련이 있는지를 테스트 하였다. 2000년 3분기부터 2007년 4분기까지 일본과 중국에 투자하는 국제투자펀드를 대상으로 운용사의 위치에 따라 지리적으로 가까운 곳에서 운용되는 펀드그룹(Asia)과 그 외 지역에서 운용되는 펀드 그룹(Others)로 나누어 펀드의 성과 차이를 비교하였다. 분석결과, 성과가 가장 우수한 펀드 그룹 간에는 Others 지역에서 운용되는 펀드의 성과가 우월하며, 성과가 가장 낮은 그룹에서는 Asia 지역에서 운용되는 펀드의 성과가 나은 결과를 얻었다. 이는 중국이나 일본에 투자하는 구미의 펀드들 중 최상위 그룹은 아시아지역에서 운용되는 펀드들에 비해서 지리적 거리에도 불구하고 정보 취득 면에서 열세에 있지 않으며 오히려 운용능력이 우월하지만, 원거리에서 운용하는 최하위 그룹펀드들은 근거리에서 운용되는 최하위그룹에 비해 정보적인 열세에 극복하지 못하기 때문인 것으로 유추된다. 연구자들은 추가적인 성과의 성분(Performance attribute) 분석을 통해 Others 지역펀드들이 종목선택능력에 우위를 Asia 지역 펀드들이 타이밍능력에 우위가 있음을 발견함으로써 이러한 해석의 유효성을 지지하였다. Despite the globalization of international capital markets, the majority of investment volume goes to local markets. Very little research has been conducted to test the validity of this ``home bias`` phenomenon in international capital markets. This study aims to test the relationship between the geographic distance and investment performance with funds that invest in Japan and China. For this purpose, using Thomson Financial International Mutual Fund data for the period between 2000 and 2007, we selected funds that invested in Japan and China. We divided the funds into the ``Asia`` and ``Others`` groups depending on whether they were managed in Asia (the local region) or Others (remote regions) to compare local and remote funds in terms of performance. We can summarize our test results as follows. First, the raw return of funds managed in Asia and that of funds managed in Others are compared. The difference between the two groups is not significant for both Japan and China funds. On the other hand, when we compare the performance of the Asia group with that of the Others group in relation to each of four quartiles identified with respect to performance, the Asia funds show better performance in the bottom quartile whereas the Others funds show better performance in the top quartile. This difference is more prominent during the bearish period but not clear during the bullish period for both Japan and China funds. Second, we compare funds managed in Asia with those managed in the Others region in terms of the risk adjusted return. Both Jensen`s alpha and the Carhart four-factor model are used to compare the risk-adjusted returns. Again, there is no significant performance difference between funds managed in Asia and funds managed in the Others region as a whole, but the Asia group outperforms Others in the bottom performance quartile while the Others group outperforms Asia in the top performance quartile. We can describe the above results as follows: there is less variance in the investment performance across managed funds that are geographically proximate. Third, we conduct performance-attribute analysis using the Daniel, Grinblatt, Titman, and Wermers (1997) method. We find that in terms of the characteristic selectivity (CS), the Asia group is better than the Others group only in the bottom performance quartile whereas the Others group is better than the Asia group in the top as well as second quartiles. These results hold regardless of whether the market is bullish or bearish for both China and Japan funds. In terms of the characteristic timing (CT), we find a slightly different result. In the bottom-quartile comparison, the Asia group is better regarding both Japan and China funds, but in the top-quartile comparison, the Others group is better for only Japan funds and not china funds. Furthermore, when we consider the market condition, we find that the Asia group has better timing ability in every performance quartile under the bullish market condition, while the Others group has better (Japan) or equally good (China) timing ability in only the top quartile under the bearish market condition. in Sum, we find that at the top tier, fund managers in the remote region are very competitive despite their geographical distance and do not seem to have any disadvantage in accessing local information. On the other hand, the geographic distance still matters for the low-performance group in the remote region as they consistently underperform low performance group in the local region. then, we further examine how remote managers in the top quartile not only are competitive, but even outperform local managers in the top quartile. We find that the better performance of the Others group in the top quartile is based mostly on their better performance in the bearish period since there is no significant performance difference in the bullish period. Therefore, we would interpret this result as follows: the Others group is better in fundamental analysis and risk management, which is rewarded more during the bearish period. The additional performance-attribute analysis supports this proposition since the Others group shows better ability in stock selection whereas the Asia group shows better ability in market timing. These study results can provided valuable lessons for the international fund management industry in deciding their management location and has an academic contribution as it tries to extend Coval and Moskowitz`s (1999, 2001) research to the international fund domain.

P파 초동주시와 표면파 분산곡선 역산을 통한 흙댐의 이상대 탐지

김기영 ( K. Y. Kim ),전광민 ( K. M. Jeon ),홍명호 ( M. H. Hong ),박영규 ( Young Kyu Park ) 한국지구물리·물리탐사학회 2011 지구물리와 물리탐사 Vol.14 No.1

대룡 흙댐의 누수경로를 포함한 이상대 탐지를 위하여, 댐 정상부의 250 m 측선을 따라 P파와 레일리파를 기록하였다. 5 kg 해머를 이용하여 인공적으로 소규모 지진파를 발생시켰으며, 3 m 간격으로 설치한 4.5 Hz 수직지오폰 24개로 탐지하였다. 이 저수지댐과 하부 기반암의 P파 속도와 S파 겉보기속도를 초동주시와 레일리파 분산곡선 역산으로 각각 구하였다. 겉보기 동포아송비가 0.46에 달하는 높은 값들이 복통이 위치한 북서쪽 끝부분의 댐 기저와 누수저지를 위해 과거 여러 차례 그라우팅 작업을 실시한 측선 남서쪽 끝 부분의 점토코아 내에서 탐지되었다. 상부 점토코아의 높은 포아송비를 갖는 이 이상대는, 조사 후 실시한 그라우팅 작업 시 그라우트 물질이 유출된 부분에 해당한다. P파 토모그래피와 레일리파 분산곡선 역산을 함께 사용하면 흙댐의 잠재적 누수경로 및 기존 그라우팅 위치를 매우 효과적으로 탐지할 수 있다. To locate anomalous features including seepage pathways through the Daeryong earth-fill dam, P and Rayleigh waves were recorded along a 250-m profile on the crest of the dam. Seismic energy was generated using a 5-kg sledgehammer and detected by 24 4.5-Hz vertical-axis geophones installed at 3-m intervals. P-wave and apparent S-wave velocities of the reservoir dam and underlying bedrock were then inverted from first-arrival traveltimes and dispersion curves of Rayleigh waves, respectively. Apparent dynamic Poisson`s ratios as high as 0.46 were obtained at the base of the dam near its north-east end, where an outlet conduit occurs, and in the clay core body near the south-west end of the profile where the dam was repeatedly grouted to abate seepage before our survey. These anomalies of higher Poisson`s ratios in the upper part of clay core were also associated with effusion of grout on the downstream slope of the dam during post-survey grouting to abate leakage. Combining P-wave traveltime tomography and inversion of Rayleigh wave velocities was very effective in detecting potential pathways for seepage and previous grouted zones in this earthen dam.

중국IPO의 저가발행현상 분석 및 유통시장 투자기회 탐색

여환영(Hwan Young Yeo),박영규(Young K Park),차령(Ling Che) 한국경영학회 2013 經營學硏究 Vol.42 No.6

This paper divides the Chinese A-Share IPO returns into sub-categories such as initial return, return in the primary market, return in the secondary market, and initial realizable return to measure their size. Then we investigate their relationship between these various IPO returns and the typical IPO determinants. We found that 1) in general, the underpricing of Chinese IPOs is gradually decreasing, but the level of the underpricing is still high compared to the developed capital markets. ; 2) the large excess returns of Chinese IPOs mainly come from the initial return. ; 3) most of the initial return is explained by the return in the primary market whereas the proportion of the return in the secondary market is relatively small. ; 4) the return in the primary market is significantly related to the typical IPO determinants(eg. AGE, GAP, ZQL, Reputation, etc.), while the return in the secondary market is not, except the turnover. ; 5) investors who fail to subscribe the competitive IPO stock can still obtain the positive return in the secondary market only if they invest in the stock with high turnover on the initial listing day. We conclude that Chinese IPOs give significant amount of positive returns to the intial subscribers due to their significant underpricing. However, the stock prices recover the most of their fair value on the date of their listing. Therefore, it is difficult to profit from investing in the IPO stocks once they are listed in the secondary market. If a investor still wants to invest in the Chinese IPO stocks in the secondary market, we advise her consider the turnover of the target stock.