조건부 베타와 수익률에 관한 연구 -한국주식시장에서의 실증분석

Abstract

This study investigates the usefulness of the new concept beta by using the method of Ang (2004) which calculated the betas of the up markets and the down markets in the Korean Stock Market. This study also investigates whether or not the returns of the down betas and the up betas after controlling the cross-sectional factors can be explained by the test methodology of Fama and MacBeth(1973). At last, this study investigates the robustness test which investigates the relation between the betas and expected returns. The empirical study finds that betas and returns maintain the negative relationship and has the high statistical significance. As shown in both down betas and up betas, these results consistently shows the statistical significance only at the size effect after controlling the cross-sectional returns. Therefore, the firm size is playing more important role than beta in explaining cross-sectional returns in the Korean Stock Market. Finally, in the relationship between the expectance returns (the size effect and the BE/ME ratio excluded) and the past betas, only the downside betas show the statistical significance.