Accounting Beta in the Extended Version of CAPM
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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