한국 주식시장에서 시장 베타와 수익률 간의 관계에 대한 실증 분석

The purpose of this study is to analyze the relationship between risk and return in the Korean stock market. And it uses market beta proposed by the CAPM(Capital Asset Pricing Model) as measure of risk. After estimating the beta for the stocks and grouping the stocks by the size of the beta, we found that the larger the market beta in the Korean stock market, the lower the return. In order to analyze this more precisely, this study divides the returns into returns that is not related to market excess returns and those that are related to market excess returns. As a result, in the case of a return that is not related to market excess return, it is found that the stocks with a low market beta have a higher return than stocks with a high market beta. In contrast, in the case of returns related to market excess return, the returns on the stocks with low beta are lower than those on the stocks with high beta. In addition, as a result dividing return into a bull market and a bear market, in case of returns that is not related to market excess return, as the beta increased, return declined. On the other hand, return associated with the market excess return increases as the market beta increases in both rising and falling markets.