The objective of this study is to investigate the portion and stationarity of the systematic risk in the Korean Stock market and to provide the information of the forcasting of future risk by exmining the risk determinants which influence the systematic risk and total risk.
Research results are as follows.
1. The portion which the systematic risk takes in the total risk is very low. And so is the stationarity of the systematic risk. These make it difficult to manage stock portfolio efficiently and to apply CAPM to the Korean Stock Market. These results imply that the historic beta is not a good estimator of real beta, so the identification and analysis of risk determinants are very important task and many research about this field should be continued.
2. In the relation between the measures and the determinants of risk, it is found that the industry factor is the highest explanatory variable and the accounting variables such as size, leverage, dividend, sales growth, monopoly power have little explanatory power. Of course, the signs of variables are the same as predicted by the hypotheses except for the size variable. This fact shows that the industry factor is the only critical variable of risk and the accounting information which is publicly open, cheaply available is no more a good guide in forcasting the risk level. All these problems are somewhat concerned with the inefficiency of Korean Stock market that they will be changed by and by as the time elapses.
