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Revisiting CAPM betas in an incomplete market: Evidence from the Korean stock market
- Authors
- Hur, Seok-Kyun; Chung, Chune Young
- Issue Date
- May-2017
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- CAPM; Beta; Incomplete market; SML; Portfolio choice; Korean stock market
- Citation
- FINANCE RESEARCH LETTERS, v.21, pp 241 - 248
- Pages
- 8
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 21
- Start Page
- 241
- End Page
- 248
- ISSN
- 1544-6123
1544-6131
- Abstract
- This study develops a model of CAPM betas (true betas) in an incomplete market version of a security market line (SML), and these are compared to the CAPM betas (perceived betas) in a traditional SML. In addition, based particularly on the Korean stock market, we empirically discover that true betas tend to diverge from the perceived betas, especially when the perceived betas are greater than one. Moreover, the distribution of perceived rather than true betas tends to be more centered around one. Overall, this study provides new insight into the CAPM in an incomplete market. (C) 2016 Elsevier Inc. All rights reserved.
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Related Researcher
- Chung, Chune Young
- 경영경제대학 (경영학부(서울))