한국 주식시장의 베타 비대칭성

초록

This paper attempts to examine a market beta asymmetry in the Korean stock market. We find that the downside betas when the market returns are negative are generally larger than the upside betas when the market returns are positive. We also find that the average returns on the portfolios of high beta asymmetry are greater than the average returns on the portfolios of low beta asymmetry. This average return differentials suggest that investors put greater weight on downside risks and thus demand additional compensation for holding high downside beta stocks. The panel data analyses show that the beta asymmetry is negatively correlated with EPS and positively correlated with past average returns and standard deviations,

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