중국에는 상장지수펀드(ETF)와 함께 상장개방형펀드(LOF)라는 특유의 펀드 형태가 존재한다. LOF는 증권 거래소에 상장되어 거래된다는 점에서 ETF와 비슷하지만, 지수 추종과 더불어 적극적 운용이 가능하다는 점에서 차이가 있다. 본 연구는 2012년 1월부터 2020년 6월까지 중국의 CSI300지수를 추종하는 ETF와 LOF를 대상으로 가격 효율성을 분석한다. 실증분석 결과는 다음과 같다. 첫째, 시장가격과 순자산가치(NAV)의 상대적 차이(괴리율)는 ETF보다 LOF에서 크게 나타난 반면, 펀드 유동성은 ETF보다 LOF에서 작게 나타났다. 둘째, ETF 와 LOF의 일별 가격 괴리율은 자기상관을 보여 ETF 혹은 LOF의 가격과 NAV 차이를 이용한 차익거래 기회가 단시일 안에 해소되지 않고 있다는 점을 시사한다. 셋째, ETF와 LOF의 비유동성은 괴리율의 자기상관성과 펀드 규모, 가격 변동성, 모멘텀 등을 통제하고 난 뒤에도 가격 괴리율에 유의한 양(+)의 영향을 미치는 것으로 나타났다. 연구에 강건성을 확보하기 위해 2단계 GMM(Generalized Moment of Method)을 적용하여도 결과는 일치했다. 본 연구는 유동성이 ETF 및 LOF 가격 효율성의 중요한 결정요인이 된다는 점과 더불어 ETF 대비 낮은 가격 효율성이 LOF 시장의 성장을 저해하는 요인으로 작용한다는 점을 시사한다.

Modern investment theory has empirically proved that stock returns can be explained by several factors such as market risk, firm size, and book-to-market ratio. Other unknown factors affecting stock returns are also believed to still exist yet to be found. We believe that one of such factors is the operational efficiency of firms in transforming inputs to outputs, considering the fact that operations is a fundamental and primary function of any type of businesses. To support this belief, this study intends to empirically study the relationship between firm efficiency and stock price performance. Firm efficiency is measured using data envelopment analysis (DEA) with inputs and outputs obtained from financial statements. We employ cross-efficiency evaluation to enhance the discrimination power of DEA with a secondary objective function of aggressive formulation. Using the CAPM-based performance regression model, we test the performance of equally weighted portfolios of different sizes selected based upon DEA cross-efficiency scores along with a buy & hold trading strategy. For the empirical test, we collect financial data of domestic firms listed in KOSPI over the period of 2000~2016 from well-known financial databases. As a result, we find that the porfolios with highly efficient firms included outperform the benchmark market portfolio after controlling for the market risk, which indicates that firm efficiency plays a important role in explaining stock returns.

The purpose of this study is to assess the effects of outlook project for olive flounder, from the view point of price stabilization, market efficiency, and causality of the prices in different distribution channels. Analytical results show that the volatility of producer price of olive flounder has been significantly mitigated after the implementation of the outlook project. The market efficiency is estimated to be improved after implementing the outlook project although there is an inefficiency on price determination process in some producing regions. The causality test on the producer and wholesale price shows that producing stage leads the wholesale stage in forming the prices. It is found that Jeju leads the flounder price on the size of 500g and 2kg, while Wando leads the price of 1kg size. These estimation result as whole indicate that outlook project for olive flounder has accomplished the intended goals.