국내주식시장에서 비대칭베타는 하방위험에 대한 헤지수단이 될 수 있는가?

Purpose - This study examines whether beta asymmetry and downside beta can serve as effective hedging tools against downside market risk in the Korean stock market. Design/methodology/approach - Using firm-level data from KOSPI-listed companies between 2018 and 2023, we estimate downside beta and beta asymmetry, and analyze their relationship with stock returns and CAPM alpha. We also consider firm-specific volatility (IVOL), lottery-like characteristics, and individual investor net buying ratios to assess behavioral patterns. Findings - Higher levels of lottery demand, idiosyncratic volatility (IVOL), and down beta are associated with greater beta asymmetry. Portfolios with higher beta asymmetry tend to exhibit higher net buying by individual investors, while at the same time showing an increasing trend in net selling by foreign investors. This suggests that individual investor demand is concentrated in stocks with high beta asymmetry. Furthermore, when the proportion of net buying by individual investors is high, beta asymmetry, lottery demand, and IVOL are found to significantly reduce CAPM alpha, indicating that individual investors’ preferences may be linked to lower risk-adjusted returns. Additionally, stocks with high beta asymmetry, IVOL, and lottery demand show significantly higher net buying ratios by individual investors, suggesting that individuals tend to speculatively invest in stocks with asymmetric risk, anticipating lottery-like payoffs. Research implications or originality - The observed patterns in lottery demand, beta asymmetry, and IVOL reflect individual investor preferences for such risk characteristics. However, stocks with relatively low beta asymmetry—indicative of weaker speculative preferences—tend to offer greater downside protection as well as superior realized returns.