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Measuring Asymmetric Nature of Beta Using a Smooth Linear Transformation

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Figure

Table 1. Descriptive Statistics of Daily returns of the S&P 500 Index and 10 other stocks
Figure 1. State of market movements using conventional and proposed measures.
Table 2. Coefficients of daily returns as per equations.
Table 3. Comparison of asymmetric beta coefficient (when asymmetric component (β ) 2was measured separately using Equations (2) & (5))
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