This paper investigates whether there is fund manager`s heterogeneity and an asymmetric volatility under short-sales constraints and if so, which factors are driving for it in Korean fund market using daily fund return data during 2002-2008. Specifically, with short-sales constrains we test the hypothesis of the difference of opinion developed by Hong and Stein (2003). It is a unique opportunity for us to directly test the differences of opinions among fund managers in that fund manager operates the fund money under short-sales constraints in asset allocating strategy. The result from GJR-GARCH model shows that there is an asymmetric volatility in return and as increase differences of opinion among fund managers, the extent to an asymmetric volatility increases as well. Furthermore, the finding of this paper is consistent with the model of Hong and Stein (2003), which predicts that negative asymmetries are more likely to occur when there are large differences of opinion among fund managers during whole and boom period, not recession period.