Semibeta asset pricing in the Korean stock market

Abstract

I examine risk premiums in the Korean stock market using a semibeta asset pricing model. I show that this model performs better than the CAPM in explaining the cross-section of stock returns in Korea. Among four semibetas, three semibetas have significant risk premiums in the Korean stock market, while the semibeta associated with jointly negative stock and market returns shows a significant risk premium only in the financial crisis period. Moreover, I find that conglomerate firms in Korea do not carry significant semibeta-based risk premiums.