( ) ( ) 2003 12 2 6,668.4 417 ( ) 2 1,075.8 79.03% ( ) (panel data, random effects) (translog cost function) 1997 5 2003 12 21,222 (cost elasticity) (1) (2) (risk premium) (3) 12b-1 2003 2
TSEC MONTHLY REVIEW 2 6,668.48 SEC 2003 7 (Eliot Spitzer) 1 2003 2 6 2 0.1% 3 ( ) ( ) 4 (economies of scale) (increasing returns to scale)( Carlton and Perloff, 2000, p.35) ( ) (Indro et al, 1999) 3
2003 417 5 Volkman(1995) ( ) 1987 204 2003 417 4
TSEC MONTHLY REVIEW 2 6,668 130 79 9 4.6 61 21 8 1 6 ( ) 1 ( ) 8,223,566.65 0.31 36738 2.00 2 ( ) 240,064,271.02 9.00 1126231 61.34 3 ( ) 13,944,601.42 0.52 11 0.00 4 80,205,925.43 3.01 383397 20.88 5 122,714,307.64 4.60 112561 6.13 6 ( ) 2,107,589,225.95 79.03 148951 8.11 7 ( ) 37,993,398.65 1.42 10470 0.57 8 11,975,500.97 0.45 10450 0.57 9 39,427,626.47 1.48 5079 0.28 10 4,709,152.29 0.18 2199 0.12 2,666,847,576.46 100.00 1836087 100.00 : ( ) 1. 5
2. 3. 4. ( 1.4 1.6 0.35 0.4 ) 2 back-end fee % % 1 1.20-1.60 0.15 1.5% ( ) 2 0.075-1.75 0.012-1.50 ( ) 100 1.5% 100 ( )~500 1.25% 500 ( )~1,000 1% 1,000 ( ) 0.8% 3 1.30-1.60 0.15-0.20 5% ( ) 4 0.018-1.80 0.012-1.30 100 1.5% 100 ( )~500 1.25% 500 ( )~1,000 1% 1,000 ( ) 0.8% 1.0-1.7 ( ) 5 1.3-1.5 ( ) 0.012-0.175 100 1.4% 100 ( ) 500 1.2% 500 0.15-0.26 1000 1.0% 1000 ( ) 0.8% 6
TSEC MONTHLY REVIEW % % 6 ( ) 0.003-0.5 0.008-0.1 2% 7 ( ) 0.5-1.0 0.06-0.16 2% 8 0.5 0.05-0.35 9 0.32 0.035 100 1.5% 100 ( ) 500 1.25% 500 ( ) 1000 1.0% 1,000 ( ) 0.8% 2% 10 0.95 0.05 2.0% : 1. 100 0.075% 2. 0.018% : (adverse selection) 7 ( ) ( ) (agency theory) 7
8 2003 3 4 (%) (%) ( ) (%) 223.00 39.50 16.4548 2.52 2.97 1.50 20.12 227.00 19.20 30.6767 2.53 2.77 1.60 24.55 188.00 21.80 29.5622 2.59 2.85 1.78 15.06 171.00 21.90 16.3438 1.86 2.19 1.43 15.47 161.00 29.00 19.4772 2.48 2.72 1.88 16.41 120.00 13.50 30.5533 1.71 1.87 1.73 17.75 8
TSEC MONTHLY REVIEW (%) (%) ( ) (%) 110.00 11.60 48.3119 1.34 1.51 1.44 16.45 99.30 12.70 37.6123 1.25 1.37 1.54 14.47 86.30 9.73 42.3719 1.57 1.75 2.00 14.68 101.00 14.40 45.1474 1.45 1.58 1.94 30.05 : ( ) (%) (%) 1,310.00 428.00 0.00 2.29 2.94 0.23 1.89 1,260.00 404.00 0.00 2.15 3.51 0.29 1.86 1,180.00 277.00 0.00 3.05 3.91 0.35 1.57 1,130.00 364.00 0.00 2.49 3.13 0.29 2.43 807.00 178.00 0.00 1.86 2.41 0.27 2.21 793.00 265.00 0.00 2.52 3.72 0.47 2.07 803.00 394.00 0.00 2.32 3.57 0.45 1.89 847.00 383.00 0.00 1.47 2.38 0.31 1.74 879.00 252.00 0.00 1.78 2.24 0.30 1.63 817.00 373.00 0.00 1.34 2.34 0.31 1.69 : Alexander and James(1996) ( ) Kirmani and Wright(1989) 9 ( ) 9
10 ( ) 1997 5 2003 12 21,224 11,198 4,391 2002 4 2002 4 1 3 10
TSEC MONTHLY REVIEW ( ) ( ) 11
92 12 10 94 187 50.27 187 11.09 246 76.01 86 89 4 87 88 89 86 9 89 8 6,000 5 4 ( ) 12
TSEC MONTHLY REVIEW - 89 90 6 11-89 12 13 91 10 89 91 7 1,000 92 8 14 7 13
7 14
TSEC MONTHLY REVIEW 92 12 30% ( 50% ) 92 9 8 8 9 3 15 86 92 92 10 15
4 16 17 16
TSEC MONTHLY REVIEW 劵 劵 劵 劵 劵 劵 劵 17
(93) 18 duration twa- 19 ( ) 20 21 2~200 22 18
TSEC MONTHLY REVIEW 23 27 28 ( ) 24 25 19
(Kistner, 1995) ( ) 26 2003 2004 2003 11 11 Sharpe Treynor Jensen 20 20 0.39 12 24 8 0.50 Rich, Michelson; and Jordan-Wagner(1999) momentum Rich (1999) Judith (1999) Chevalier and Glenn(1999) 20
TSEC MONTHLY REVIEW 88 16 6 ( ) ( ) (separating equilibrium) 27 ( ) 28 29 pooling equilibrium moral hazard 1985 2003 4 30 21
( ) 1. 1. 2. 2. 20/80 ( ) (Generally Accepted Accounting Principles GAAP) (price discrimination) (first-degree or perfect) (second-degree) (third-degree) ( ) (arbitrage) 22
TSEC MONTHLY REVIEW (risk premium) 70 ( ) ( ) 30 31 1 2 3 twaf 23
(cross section data) ( ) Baumol, Goldfeld, Gordon and Koehn(1990) 1980 1986 754 Latzko(1999) 1997 2,610 Rea, Reid and Miller (1999) 1998 497 5 (equity funds) Dermine and Roller(1992) 1987 604 (SICAV) Ang and Lin(2001) 1994 3 449 (fund families) 1,832 (economies of scale) (economies of scope) Collins(2003) 1998 256 Freeman and Brown(2003) (cross section data) Latzko(2003) (panel data) 1995 3 600 1995 2001 2001 398 (panel data random effects regression) 3,434 24
TSEC MONTHLY REVIEW 5 5 (minimum efficient scale) (Duality) (translog cost function) (turnover rate) 1 lncost a0 a1 ln Assets a2(ln Assets) 2 2 j a j x j e (1) x j : Cost Assets e (random error term) ( ) lncost ln Assets (cost elasticity) 1 (2) ( ) 1997 1 2003 12 84 2003 12 (panel data) 21,222 EView 25
: ( ) 劵 ( ) 21,224 11,198 4,391 0.011671 0.011783 0.011857 0.000068 0.0000812 0.0000165 0 0 0.001286 0.099461 0.099461 0.021829 : 1 5 11.67 99.46 0 ( ) 11.78 99.46 0 3,117.35 12,674.6-27,000.25 43,873.3 ( 5) ( ) 11.85 21.82 1.2 19,644.71 51,772.82-125,000 127,000 ( 9) ( ) 1997 1 2003 12 2003 12 (panel data) 21,222 EView (random effects estimation) (Greene, 2003) 6 7 ( ) 6 7 6 ( ) ( ) ( ) 1% 26
TSEC MONTHLY REVIEW 0.6581 ( ) Latzko(1999) Rea, Reid and Miller (1999) Ang and Lin(2001) Latzko(2003) Dermine and Roller(1992) 1% ( 154 ) ( ( ( ( ) ( / ) ) ) ) 21,222 765 11,195 693 2,440 1,526 4,390 154-12.4378 13.59166-2.8185 2.91520 5.51080 1.003077 5.98353-15.37757 a 0 (-40.18)** (3.76)*** (-5.91)*** (4.25) (6.23)*** (0.45) (5.26)*** (-1.49) ln of fund 2.11084-1.57667 0.54806-0.13985-6.64242-0.005646-0.637362 2.29268 assets a 1 (49.06)*** (-3.19)*** (7.78)*** (-1.32) (-5.05)*** (-0.02) (-4.30)*** (1.56) Ln of fund assets square ( 2 2-0.1003 0.16575 0.02639 0.06253 0.114682 0.063593 0.09513-0.10068 1 a ) (-33.63)*** (4.90)*** (5.08)*** (7.64)*** (12.51)*** (2.71)*** (9.85)*** (-0.98) 27
( ( ( ( ) ( / ) ) ) ) X 1 0.00028-0.01376 0.003405-0.0000298-0.111018-0.002448-0.0019045 0.021512 (14.13)*** (-4.45)*** (8.91)*** (-1.43) (-6.46)*** (-1.01) (-3.85)*** (0.45) 0.0012-0.0048276 0.000048-0.000636-0.0004345 0.000621-0.264233 - X 2 (5.79)*** (-3.45)*** (0.25) (-0.54) (-0.72)*** (1.12) (-0.78) (-) ( ) X 3 0.0013-0.0000458-0.00122 0.005393-0.0000343 0.0007261 0.0010308 0.0032124 (13.01)*** (-0.14) (-10.28)*** (11.15)*** (-.18)*** (3.12)*** (3.26)*** (1.07) 2 R 0.7055 0.8589 0.8228 0.9272 0.8616 0.7758 0.7655 0.7322 0.6581 0.863001 0.91346 0.77649 0.94021 0.871802 0.837866 0.802209 Wald Chi2 51697.26 3676.73 53248.04 7857.68 14626.33 3676.73 53248.04 407.45 :(. ) Z *** 1% 0-5 5-20 20-50 50-100 100 7 5-20 50-100 ( ) 20-50 100 20-50 28
TSEC MONTHLY REVIEW / 100 0-5 5-20 20-50 50-100 21,222 4,717 8,334 3,684 1,924 2,563 a 0-12.4378 12.16234 3.226846-51.10096 127.1685 50.13674 (-40.18)*** (11.34)*** (0.43) (-1.27) (1.09) (4.16)*** ln of fund 2.11084-1.900257-0.2711455 7.059586-15.48134-5.592975 assets a 1 (49.06)*** (-10.36)*** (-0.25) (1.31) (-1.05) (-3.93)*** ln of fund assets -0.1003 0.2252611 0.080318-0.4155677 1.007496 0.3720471 square ( 2 2 1 a ) (-33.63)*** (14.38)*** (1.01) (-1.16) (1.07) (4.43)*** X 1 X 2 0.00028 0.0008665 0.0001304 0.0000653 0.0001803 0.0002939 (14.13)*** (15.66)*** (3.10)*** (1.51) (3.82)*** (7.49)*** 0.0012 0.0001282 0.0021258 0.0077822 0.0287043 0.092211 (5.79)*** (0.41) (7.81)*** (0.00) (10.46)*** (6.31)*** ( ) X 3 0.0013 0.0001282 0.0009376 0.0019513 0.0030223 0.0021133 (13.01)*** (0.41) (6.86)*** (0.000) (17.34)*** (5.95)*** 2 R 0.7055 0.4236 0.8228 0.1.75 0.1193 0.2112 0.6581 0.695691 0.821138 0.769816 0.320315 0.744279 Wald Chi2 51,697.26 3,729.37 3,471.93 476.59 271.79 1,121.19 :( ) Z *** 1% ( ) 8 1% 12b-1 (12b-1fee) (1) 12b-1 (2)12b-1 29
12b-1 / 21,222 21,132 21,139 13,684 a 0-12.4378-17.43841-10.35167-5.68502 (-40.18)*** (-54.97)*** (-36.90)*** (-3.29)*** ln of fund assets a1 ln of fund assets square ( 2 2 2.11084 2.78288 1.387614 0.688839 (49.06)*** (63.12)*** (35.59)*** (2.86)*** -0.1003-0.146519 1 a ) (-33.63)*** (-47.93)*** -0.041794 (-15.46)*** -0.029224 (-1.76)*** X 1 X 2 ( ) X 3 2 R 0.00028 0.000225 0.0000953 0.0005159 (14.13)*** (11.04)*** (5.29)*** (5.48)*** 0.0012 0.0025201-0.0010105-0.000636 (5.79)*** (11.22)*** (-5.00)*** (-0.54) 0.0013 0.0007255 0.0023855-0.018102 (13.01)*** (6.62)*** (24.62)*** (-13.43)*** 0.7055 0.7004 0.8228 0.1788 Wald Chi2 51,697.26 50,364.17 88,539.03 2,783.67 ( ) Z *** 1% 12b-1 12b-1 30
TSEC MONTHLY REVIEW ( ) ( ) 2003 12 2 6,668.4 417 ( ) 2 1,075.8 79.03% ( ) 9% 2003 11 (panel data, random effects) (translog cost function) 1997 5 2003 12 21,222 (cost elasticity) 1. 2. risk premium 3. 12b-1 1 2003 9 3 New York Times, 2003.11.1 SEC has found payoffs in sales of mutual funds, New York Times, 2004.1.14 2 31
3 93 12 2.48 11 2.53 508.77 2.01 93 20% 4 93.7.12 3% 5 ( 2001) (Wang, 1995) Moore(1999) Lu (1999) 6 72 5 11 18 18 89 7 19 15 7 32
TSEC MONTHLY REVIEW (Sirri and Tufano, 1993) (Brown, Harlow and Starks,1996) 8 (losers ) (winners ) Brown et al. (adverse-incentive) 9 0920137688 10 0930102723 11 93 12 76.57 3.49 4.79 1995 4 11 50% MSCI 2002 5 MSCI 12 89 1 6 10786 89 33
13 91 10 30 157861 14 92 8 25 137934 15 16 17 93 7 18 29 1 92 10 31 146794 19 10% 34
TSEC MONTHLY REVIEW 20 21 22 23 1999 24 Micropal 1985 S&P / Micropal 1997 3 25 Micropal Lipper Fund Research 35
26 92 4 12 111038 27 / 28 92 4 30 1829 29 / 30 31 92.5.27 55 2004 1 2004 Alexander, G. J. and J. D. James (1996), Report of the SEC/OCC Survey of Mutual Fund Investors. Ang, J. S. and J. Wuh Lin (2001), ``A Fundamental Approach to Estimating Economies of Scale and Scope of Financial Products: The Case of Mutual Funds, Review of Quantitative Finance and Accounting, 16, 205-222. Baumol, W. J., S. M. Goldfeld, L. A. Gordon, and M. F. Koehn (1990), The Economics of the Mutual Fund Markets: Competition vs. Regulation, Boston, Kulwer Academic Publisher. 36
TSEC MONTHLY REVIEW Carlton, D. W. and J. M. Perloff (2000), Modern Industrial Organization, Addison-Wesley. Chevalier, J. and E. Glenn (1999), Career Concerns of Mutual Fund Manager, Quarterly Journal of Economics, 114, 389-442. Collins, S. (2003),``The Expenses of Defined Benefit Pension Plans and Mutual Funds, Perspective, Investment Company Institute, 9(6), 1-19. Dermine, J. and L-H R?ller (1992),``Economies of Scale and Scope in French Mutual Funds, Journal of Financial Intermediation, 2, 83-91. Freeman, J. P. and S. L. Brown (2001), ``Mutual Fund Advisory Fees: The Cost of Conflicts of Interest, Journal of Corporate Law, 26(3), 609-673. Greene, W. H. (2003), Econometric Analysis, Prentice Hall, 5th ed. Indro, D. C; C. X. Jiang, C. X; Hu, M. Y; Lee, and Y. Wayne (1999), Mutual Fund Performance: Does Fund Size Matter? Financial Analysts Journal, 55, 74-87. Kirmani, A. and O. Wright (1989), Money Talks: Perceived Advertising Expense and Expected Product Quality, Journal of Consumer Research, 16, 344-353. Kistner, W. G. (1995), Using Benchmarks to Measure Mutual Fund Performance, Healthcare Financial Management, 49. Labaton, S. (2004), S.E.C. has Found Payoffs in Sales of Mutual Funds, The New York Times, January 14, 2004. Latzko, D. A. (1999), ``Economies of Scale in Mutual Fund Administration, The Journal of Financial Research, 22(3), 331-339. Latzko, D. A. (2003), Mutual Fund Expenses: An Econometric Investigation, Pennsylvania State University, Working Paper. New York Times, 2003.11.1, and 2004.1.14. Rea, J. D., B. K. Reid, and K. W. Millar (1999), ``Operating Expense Ratios, Assets, and Economies of Scale in Equity Mutual Funds, Perspective, Investment Company Institute, 5(5), 1-15. Rich, F., S., Michelson; and J. Jordan-Wagner (1999), Does Mutual Fund Manager Tenure Matter? Journal of Financing Planning, 12, 723-779. Volkman, D. A (1995), Determinants of Persistence in Relative Performance of Mutual Funds, Journal of Financial Research, 18, 415-430. 37