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