포트폴리오에도 고유변동성 이상현상이 존재하는가?: 한국 주식시장의 사례

This paper examines the existence of idiosyncratic volatility anomalies among portfolios in the Korean stock market and comprehensively analyzes the relationship between portfolio risk levels and excess returns. For this purpose, we define approximately 500 portfolio universes in various ways and conduct analyses using eight risk measures, including short-term and long-term idiosyncratic volatility, total volatility, systematic volatility, and market beta. The main findings from our empirical analysis using Korea Securities Exchange data from July 1990 to December 2024 are as follows. First, idiosyncratic volatility anomalies rarely appear in portfolio universes, in contrast to individual stock universes. Second, across most risk measures, portfolio risk levels and excess returns generally demonstrate a positive relationship, which we interpret as a result of idiosyncratic risk diversification. Third, universes composed of portfolios with more heterogeneous risk structures tend to show a negative relationship between idiosyncratic risk and future returns. To the best of our knowledge, this paper is the first study to analyze idiosyncratic volatility anomalies at the portfolio level in the Korean stock market.