Korean J Financ Stud Search

CLOSE


Korean J Financ Stud > Volume 46(2); 2017 > Article
Korean Journal of Financial Studies 2017;46(2):275-303.
DOI: https://doi.org/10.26845/KJFS.2017.03.46.2.275    Published online March 31, 2017.
A Reexamination of Bad Beta and Good Beta
Ming Wu, Ki Yool Ohk, Kwangsoo Ko
나쁜 베타와 좋은 베타에 대한 재조명
오명, 옥기율, 고광수
Abstract
Using the log-linear model developed by Campbell and Vuolteenaho (2004), this paper decomposes unexpected stock returns into cash-flow news and discount-rate news in the Korean stock market. The major empirical findings are as follows: First, we select six state variables for vector auto-regressive (VAR) model and decompose stock returns into two pieces of news successfully. Second, we find that discount-rate beta is higher than cash-flow beta, namely that discount-rate news causes much more variation in stock returns than cash-flow news. Third, discount-rate news rather than cash-flow news is priced when we employ pooled regressions. We conclude that discount-rate beta is bad beta in the Korean stock market. Finally, this result is robust when we divide stock market into up and down ones. An important academic contribution of this paper is the successful decomposition of stock returns into cash-flow news and discount-rate news. Unlike the U.S. stock market, we find that discount-rate beta is bad beta in the Korean stock market.
Key Words: 나쁜 베타,로그-선형 모형,좋은 베타,할인율 뉴스,현금흐름 뉴스,Bad Beta,Cash-Flow News,Discount-Rate News,Good Beta,Log-Linear Model
TOOLS
Share :
Facebook Twitter Linked In Google+ Line it
METRICS Graph View
  • 0 Crossref
  •    
  • 1,160 View
  • 17 Download
Related articles in Korean J Financ Stud


ABOUT
BROWSE ARTICLES
EDITORIAL POLICY
FOR CONTRIBUTORS
Editorial Office
6F, Korea Financial Investment Association Building
143, Uisadangdaero, Yeongdeungpo-gu, Seoul 07332, Korea
Tel: +82-2-783-2615    Fax: +82-2-783-6539    E-mail: office@e-kjfs.org                

Copyright © 2024 by Korean Securities Association.

Developed in M2PI

Close layer
prev next