Accounting Beta in the Extended Version of CAPM

Anna Rutkowska-Ziarko (), Lesław Markowski () and Christopher Pyke ()
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Anna Rutkowska-Ziarko: University of Warmia and Mazury in Olsztyn
Lesław Markowski: University of Warmia and Mazury in Olsztyn
Christopher Pyke: University of Central Lancashire

A chapter in Contemporary Trends and Challenges in Finance, 2019, pp 147-156 from Springer

Abstract: 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.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-15581-0_14

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DOI: 10.1007/978-3-030-15581-0_14

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