Measuring Asymmetric Nature of Beta Using a Smooth Linear Transformation ()
ABSTRACT
Prior studies have found
weak evidence on the asymmetric nature of the beta coefficient based on upward
and downward movements of the market by classifying market movements into two
mutually exclusive and exhaustive series using a fixed threshold. Instead of
using a directional measure, we used a smooth linear transformation function to
measure both magnitude and direction of market movements which is scaled on the
basis of the highest and lowest monthly market return during the preceding
three years. Proposed classification can capture the asymmetric behavior of
beta in a better way.
Share and Cite:
Mitra, S. (2019) Measuring Asymmetric Nature of Beta Using a Smooth Linear Transformation.
Theoretical Economics Letters,
9, 2019-2032. doi:
10.4236/tel.2019.96128.
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