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2019 | OriginalPaper | Chapter

Accounting Beta in the Extended Version of CAPM

Authors : Anna Rutkowska-Ziarko, Lesław Markowski, Christopher Pyke

Published in: Contemporary Trends and Challenges in Finance

Publisher: Springer International Publishing

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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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Title: Accounting Beta in the Extended Version of CAPM
Authors: Anna Rutkowska-Ziarko
Lesław Markowski
Christopher Pyke
Publisher: Springer International Publishing
Book: Contemporary Trends and Challenges in Finance
Print ISBN: 978-3-030-15580-3

Electronic ISBN: 978-3-030-15581-0

Copyright Year: 2019
DOI: https://doi.org/10.1007/978-3-030-15581-0_14