Conditional CAPM relationships in standard and accounting risk approaches

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

*Corresponding author for this work

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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.
Original languageEnglish
Article number102123
Number of pages14
JournalNorth American Journal of Economics and Finance
Volume72
Early online date28 Feb 2024
DOIs
Publication statusE-pub ahead of print - 28 Feb 2024

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