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이한재(Lee Han-Jae),임희남(Yim hee-Nam),변상천(Byun Sang-Cheon) 조선대학교 지식경영연구원 2004 지역개발연구 Vol.9 No.2
This study investigates the usefulness of the beta which is calculated by distinguishing the betas of the upside markets and the downside markets in the Korean Stock Market through the method of Ang(2004) This study also investigates whether or not the returns of the downside betas and the upside betas after controlling the cross-sectional factors can be explained by the test methodology of Fama and MacBeth(l973). At last. this study investigates the robustness checks which investigates the relation between the betas and expected returns. The empirical study finds that betas and returns maintain the negative relationship and has the high statistical significance. This result. which also shown in both downside betas and upside betas. can only be consistently explained by the size effect in the list of cross-sectional returns effects. Therefore. the firm size is playing more important role than beta in explaining the cross-sectional returns in the Korean Stock Market. Finally. in the relationship between the expect returns (the size effect and the BE/ME ratio excluded) and the past betas. only the downside betas are statistically significant.