한국 테마형 ETF의 성과 결정요인 실증 분석: 스마트 머니 가설 기각과 펀드 규모의 불경제를 중심으로

초록

This paper investigates why thematic Exchange-Traded Funds (ETFs) systematically underperform broad-based benchmarks despite their rapid growth, examining whether the underperformance reflects a structural decoupling between fund flows and risk-adjusted performance rather than differences in managerial skill. Using all equity ETFs listed on the Korea Exchange (KRX) over the 16-year period from January 2010 to April 2026, we integrate Koscom ETFCheck data (AUM, returns, creations/redemptions) with KRX delisting records to construct a Point-in-Time panel covering 1,328 ETFs and more than 1.58 million daily observations, which controls for survivorship bias. We then combine Time-Fixed Effect Panel OLS as the primary identification strategy with Fama and MacBeth (1973) two-step cross-sectional regressions as a complementary strategy, ensuring robustness against cross-sectional dependence in residuals. Five-dimensional robustness checks—monetary regime split, winsorization intensity, alternative thematic classification, survivorship bias quantification, and Fama-MacBeth cross-sectional regression—confirm the stability of our core findings. The empirical findings reveal a structural decoupling between fund flows and performance in the Korean thematic ETF market that is driven by market microstructure and investor behavior rather than by differences in managerial skill. At the fund level, large net inflows are followed by significant declines in subsequent returns (Dumb Money), and fund-level AUM expansions lead to systematic performance erosion in narrow thematic ecosystems (Diseconomies of Scale); a determinants analysis further shows that fund flows respond to recent raw returns rather than risk-adjusted alpha, failing to find evidence supporting the Smart Money hypothesis. At the security level, a Greenwood-Thesmar style fragility analysis based on Portfolio Deposit File weights shows that small-to-mid cap equities heavily concentrated in thematic ETFs are structurally exposed to redemption-driven price shocks. Taken together, these findings carry implications for ETF product design, investor protection policy, and management consulting practice in the asset management industry.

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