확정기여형 퇴직연금 가입자의 투자성과에 대한 사례연구 = A Case Study on the Investment Performance of Employees in a Defined Contribution Plan

다국어 초록 (Multilingual Abstract)

In this study, we examine the investment performance of participants from one employer introducing the defined contribution plan. We consider absolute investment performance, relative performance to the benchmark and risk-adjusted performance using panel data over 367 individuals (n=11,744). The time frame of our analysis is based on 32 quarters for the period from April, 2007 to January, 2016. Participants earn average return of 4.5% per year, 1.1%p higher than the certificate of deposit rate but 1.0%p lower than both equity index return and bond index return, respectively. We estimate the risk-adjusted returns, alpha, using a four factor model consisting of the Fama and French’s three factors and domestic bond index. The result shows that the negative alpha over the investment period is -2.2%. The negative alpha confirms that the plan’s performance falls below the performance of comparable index.
When we consider the characteristic and the investment behavior of each individual as explanatory variables, the regression model shows individuals who change their asset allocation performed poor compared to individuals with no change in the period. The result suggests that participants do not have positive market-timing abilities and therefore defined contribution plans need a mechanism to re-balance the fund automatically or by professional managers.

참고문헌 (Reference)

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