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
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