한국생산성학회

The Capital Asset Pricing Model (CAPM) has been one of the most widely utilized theories in academic research and the investment industry. Despite the importance of the CAPM, there is a lack of research in Korean literature that validates various beta estimation methods. This paper focuses on introducing several key beta estimation methods and applies them to the Korean stock market to briefly examine the characteristics of stocks. It was observed that the estimates using a longer estimation period resulted in smaller errors compared to the realized beta in the future, except for the EWMA method. Additionally, the EWMA method exhibited a very strong correlation between beta estimates across different estimation periods. The construction of the EWMA method involves imposing more weight on the later part of the estimation period, which could explain the observed statistical property. Through portfolio analysis, it was found that while there were some exceptions, high beta generally exhibited negative sensitivity to various factor returns. Particularly, a significant empirical relationship between the magnitude of beta estimates and factor returns in the value and size factors was observed, showing a negative association.