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Accounting Beta in the Extended Version of CAPM

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Contemporary Trends and Challenges in Finance

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

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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Author information

Authors and Affiliations

  1. Faculty of Economics, Department of Quantitative Methods, University of Warmia and Mazury in Olsztyn, Olsztyn, Poland

    Anna Rutkowska-Ziarko & Lesław Markowski

  2. Lancashire School of Business and Enterprise, University of Central Lancashire, Preston, UK

    Christopher Pyke

Authors
  1. Anna Rutkowska-Ziarko
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  2. Lesław Markowski
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  3. Christopher Pyke
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Corresponding author

Correspondence to Anna Rutkowska-Ziarko .

Editor information

Editors and Affiliations

  1. Finance Management Institute, Wroclaw University of Economics, Wroclaw, Poland

    Krzysztof Jajuga

  2. Faculty of Management and Economics, Dresden University of Technology, Dresden, Germany

    Hermann Locarek-Junge

  3. Jack Welch College of Business, Sacred Heart University, Fairfield, CT, USA

    Lucjan T. Orłowski

  4. Department of Economics and Finance, Tallinn University of Technology, Tallinn, Estonia

    Karsten Staehr

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Rutkowska-Ziarko, A., Markowski, L., Pyke, C. (2019). Accounting Beta in the Extended Version of CAPM. In: Jajuga, K., Locarek-Junge, H., Orłowski, L., Staehr, K. (eds) Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-15581-0_14

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