Beta Coefficient

[sirinath]

Hi All,

I have been thinking about Beta Coefficient. Currently Beta's is
calculated in numerous ways as in CAPM. But I feel this mode of
calculating beta may be flawed since the upside and downside
volatilities differ. My opinion is that this should be calculated by
regressing using the upside returns and down side return separately,
i.e., my feeling is that the regression using upward returns and
downward returns would be different. A stocks exposure to the market
would be different in the upward movement and downward movement. Some
stocks may react differently on downward movements than upward
movements of the market, especially glamour, tech and growth stocks.

Any comments folks?

Best regards, Suminda Sirinath Salpitkorala Dharmasena