Time-Varying Fund Manager Skill in Korea

Purpose: This study utilizes the KNV measure to evaluate performance of national pension funds Korea. Design/methodology/approach: First, this investigates whether fund managers pick stocks in expansions and time market recessions. Second, we examine skilled that have both high picking skill booms timing Third, ability as well ability. Finally, persistence indexes is investigated. Findings: more relevant recessions whereas stock selection expansions. differences between superior inferior are persistent over one-year. there no evidence same who display show Research limitations/implications: Since institutions or organizations provide real-time indicators business cycle, switching strategy not available. Originality/value: first research analyze using methodology Korean market.