Abstract
This study analyzes the flow-performance relationship and the convexity of public equity and fiduciary pension funds in Korea from January 2003 to May 2016. The empirical implications are as follows: First, as shown in the literature, a statistically significant positive correlation exists between cash flows and the performance of public equity and fiduciary pension funds. Second, flow-performance convexity is found for public equity funds but not for fiduciary pension funds. This may be due to the difference in investor characteristics between the public equity and fiduciary pension funds, rather than the difference in investor taxability, as, unlike in the US, Korean public equity fund investors are exempt from capital gain taxes. Key words: Public Equity Funds; Fiduciary Pension Funds; Performance; Flow; Convexity JEL Classification: G10, G20
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