Abstract
자본자산가격이론(CAPM)은 주식시장에서 광범위하게 쓰이는 모형이지만, 그 핵심인 베타 추정치의 통계적 안정성에는 많은 의구심이 있어 왔다. 이 논문에서는 한국 주식시장에서 베타의 안정성, 혹은 불확정성이 미치는 효과를 횡단면 실증분석을 실시하였다. CAPM 회귀모형의 표준오차를 베타의 불확정성으로 측정하여 이 불확정성이 미래의 주식 수익률에 미치는 영향을 분석하여보니 비대칭적인 영향이 있음을 확인하였다. 또한 가치나 규모와 같은 전통적인 가격산정 요인에의 노출과도 밀접한 관련이 있다는 사실 또한 확인하였다.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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