Accounting-based CAPM: Symmetrical and downside risk approaches

Authors

DOI:

https://doi.org/10.18559/ebr.2026.3.2957

Keywords:

Capital Asset Pricing Model (CAPM), accounting beta, downside risk, profitability ratios, downside accounting beta

Abstract

The complexity of asset return variability justifies supplementing the standard CAPM formula with market risk measures based on firms’ fundamental analysis. Moreover, a key area of investigation is the approach to downside pricing. The main objective of this study is to test non-standard CAPM extensions that incorporate accounting information. The results for the Frankfurt Stock Exchange indicate that profitability ratios constitute a significant source of systematic risk and generate a positive premium related to a company’s financial condition. Furthermore, in the case of large firms, sensitivity measures based on downside accounting betas demonstrate a clear advantage over their conventional counterparts.

JEL Classification

Cross-Sectional Models • Spatial Models • Treatment Effect Models • Quantile Regressions (C21)
Financial Econometrics (C58)
General Financial Markets (G1)
Portfolio Choice • Investment Decisions (G11)

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Published

2026-09-30

Issue

Vol. 12 No. 3 (2026)

Section

Research articles

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Copyright (c) 2026 Lesław Markowski, Przemysław Garsztka, Jacek Mizerka, Anna Rutkowska-Miczka

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This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Markowski, L., Garsztka, P., Mizerka, J., & Rutkowska-Miczka, A. (2026). Accounting-based CAPM: Symmetrical and downside risk approaches. Economics and Business Review, 12(3), 101-132. https://doi.org/10.18559/ebr.2026.3.2957

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