Conditional CAPM relationships in standard and accounting risk approaches

Rutkowska – Ziarko, Anna, Lesław Markowski and Hussein A. Abdou

The North American Journal of Economics and Finance, 2024, vol. 72, issue C

Abstract: The main aim of the work is to test new and non-standard versions of CAPM, based on accounting information and downside risk measures. Two innovative conditional CAPM models incorporating accounting information have been proposed. Average values of profitability ratios and accounting betas proved significant sources of systematic risk. In addition, the results confirm the legitimacy of the conditional approach to CAPM testing. The positive premium for downside risk on NYSE has been found. The innovative approach to CAPM testing extended by accounting factors indicates the importance of including accounting variables in the pricing of assets on the capital market.

Keywords: CAPM; Conditional relationships; Profitability ratios; Accounting beta; Downside risk (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000482

DOI: 10.1016/j.najef.2024.102123

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