Conditional CAPM relationships in standard and accounting risk approaches

Anna Rutkowska–Ziarko; Lesław Markowski; Hussein A. Abdou

doi:10.1016/j.najef.2024.102123

Conditional CAPM relationships in standard and accounting risk approaches

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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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 language	English
Article number	102123
Number of pages	14
Journal	North American Journal of Economics and Finance
Volume	72
Early online date	28 Feb 2024
DOIs	https://doi.org/10.1016/j.najef.2024.102123
Publication status	Published - 1 May 2024

Keywords

Accounting beta
CAPM
Conditional relationships
Downside risk
Profitability ratios

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10.1016/j.najef.2024.102123Licence: CC BY

1-s2.0-S1062940824000482-mainAccepted author manuscript, 1.05 MBLicence: CC BY
1-s2.0-S1062940824000482-mainFinal published version, 559 KBLicence: CC BY

Cite this

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KW - Accounting beta

KW - CAPM

KW - Conditional relationships

KW - Downside risk

KW - Profitability ratios

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Conditional CAPM relationships in standard and accounting risk approaches

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Keywords

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