공모펀드 와 사모펀드의 성과 및 성과지속성의 비교연구 / A Comparative Study of Performance Persistence on Public Funds and Private Funds in Korea
- Resource Type
- Dissertation/ Thesis
- Authors
- 최성훈 / Choi, Sunghoon
- Source
- Subject
- 사모 펀드
- Language
- Korean
We use the data which is active managed funds of private funds and public funds from 2000 years to 2009 years and is length of survival over than 3 years and over than 50 millions won on average total net asset Using benchmark-adjusted returns, one factor model and three factor models, we investigate the abnormal return and performance persistence on public funds and private funds in korea. Private funds and public funds in Korea are found in performance persistence partly over 3 months. But we do not find evidence of performance persistence over 6 months on both public funds and private funds in korea. Comparing to performance of private funds and public funds over 3 months and 6 months, the returns' fluctuation rate in private funds varies higher than the returns' fluctuation rate in public funds. It tells us that public funds' return is more stable than private funds' return.