Accounting Beta in the Extended Version of CAPM

Ruthowska-Ziarko, Anna, Markowski, Leslaw and Pyke, Chris orcid iconORCID: 0000-0001-6576-2709 (2019) Accounting Beta in the Extended Version of CAPM. In: 4th Wroclaw International Conference in Finance, 24 - 25 September 2019, Wrocław.

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Official URL: https://link.springer.com/chapter/10.1007%2F978-3-...

Abstract

This paper examines whether accounting betas and downside accounting betas have an impact on the average rate of return in a capital market. It also examines whether investors receive a positive risk premium using accounting betas and secondly, if investors receive a positive risk premium for the downside risk. An analysis was undertaken using data from a sample of 27 Polish construction companies currently listed on the Warsaw stock market.

The results show that for the Polish construction company sector investors receive a positive risk premium, associated with Accounting Betas and investors receive a positive risk premium for downside risk.


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