Earticle

초록

영어

Levi and Welch (2020) argue that market beta and asymmetric downside beta are highly correlated and that most of downside beta's explanatory power stems from market beta. This study re-examines the relationship between stock returns and downside beta in the Korean stock market. We test beta spreads including beta asymmetry (i.e., down beta - up beta spread) and relative downside beta (i.e., down beta - market beta spread) to control for the market beta. We find negative correlations between downside betas and stock returns even after controlling for market beta and firm characteristics. We also find that regardless of market conditions (i.e., bear, neutral, and bull markets) high beta spreads are associated with low returns. Accordingly, zero-cost portfolios that purchase the stocks in the low quintile of beta spreads and sells the stocks in the top quintile generate significantly positive alphas. These findings underline that downside beta contains the unique information beyond market beta in the Korean stock market.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Beta Estimation and Analysis
1. Data
2. Estimating annual and monthly betas
3. Explanatory and predictive power of beta
Ⅲ. Empirical Analysis of Beta–Return Relationships
1. Portfolio sorts
2. Fama-MacBeth cross-sectional regression
3. Time-series analysis
Ⅳ. Beta–return relationships under various market conditions
1. Portfolio sorts
2. Fama-MacBeth regression and time-series analyses
Ⅴ. Conclusion
References
Appendix

키워드

저자

• Seung Hyun Jeong [ SK Securities.Co.,LTD ]
• Hoon Cho [ Korea Advanced Institute of Science and Technology (KAIST) ]
• Jihun Kim [ Yonsei University ]
• Dohyun Chun [ Korea Advanced Institute of Science and Technology (KAIST) ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330