베타 추정치의 안정성이 수익률 예측에 미치는 영향 대한 간단한 분석

초록

CAPM is a widely used pricing model in the stock market, and the stability of the estimated beta has been in question in the literature. This paper empirically studies the effect of beta stability or uncertainty on cross-sectional stock returns in the Korean market. By considering the standard error of CAPM regression as a measure for beta uncertainty, we find that beta uncertainty has asymmetric effects on stock returns. We also report that our finding is closely related to the factor exposures, such as market and value factors.

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