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Semibeta asset pricing in the Korean stock market

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  • Chu, Pyung Kun

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.

Suggested Citation

  • Chu, Pyung Kun, 2022. "Semibeta asset pricing in the Korean stock market," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004433
    DOI: 10.1016/j.frl.2022.103245
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    Cited by:

    1. Amaya, Diego & Herrerias, Renata & Perez, Fernando & Vasquez, Aurelio, 2023. "Realized semibetas and international stock return predictability," Finance Research Letters, Elsevier, vol. 58(PC).

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    More about this item

    Keywords

    Semibeta; Risk premium; Korean stock market;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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