Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253322 
Year of Publication: 
2021
Citation: 
[Journal:] Global Business & Finance Review (GBFR) [ISSN:] 2384-1648 [Volume:] 26 [Issue:] 2 [Publisher:] People & Global Business Association (P&GBA) [Place:] Seoul [Year:] 2021 [Pages:] 1-17
Publisher: 
People & Global Business Association (P&GBA), Seoul
Abstract: 
Purpose: This study utilizes the KNV measure to evaluate performance of national pension funds of Korea. Design/methodology/approach: First, this study investigates whether fund managers pick stocks in expansions and time the market in recessions. Second, we examine skilled funds that have both high picking skill in booms and high timing skill in recessions. Third, we examine whether skilled managers have timing ability as well as picking ability. Finally, persistence of skill indexes is investigated. Findings: First, market timing skill is more relevant in recessions whereas stock selection skill is more relevant in expansions. Second, the performance differences between superior and inferior funds are persistent over one-year. Finally, there is no evidence that the same fund managers who display superior stock picking skill in expansions show superior market timing skill in recessions. Research limitations/implications: Since no institutions or organizations provide real-time indicators of the business cycle, switching strategy between timing and picking is not available. Originality/value: This is the first research to analyze the national pension fund using KNV methodology in the Korean market.
Subjects: 
National pension fund
Business cycle
Market timing
Stock selection
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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