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Autor
Rutkowska-Ziarko Anna (University of Warmia and Mazury in Olsztyn), Markowski Lesław (University of Warmia and Mazury in Olsztyn, Poland)
Tytuł
Market and Accounting Risk Factors of Asset Pricing in the Classical and Downside Approaches
Źródło
Annales Universitatis Mariae Curie-Skłodowska. Sectio H. Oeconomia, 2020, vol. 54, nr 2, s. 103-112, tab., bibliogr. 24 poz.
Słowa kluczowe
Wycena aktywów, Ryzyko, Rachunkowość
Asset valuation, Risk, Accounting
Uwagi
Klasyfikacja JEL: G12; G32
summ.,
Abstrakt
Theoretical background: The variability of the company's profitability is the result of the accompanying risk. To compare the profitability of many companies, relative profitability measures, which include profitability ratios, are more convenient. This article analyses market and accounting risk factors of CAPM. Risk was considered in variance and downside framework. Market betas, accounting betas were used in an extended version of the asset pricing model. Additionally, the influence of profitability ratios, such as ROA and ROE on the average rate of return on the capital market are considered. Purpose of the article: The main purpose of this study is to test the standard and extended CAPM relations between systematic risk measures and mean returns for single companies quoted on the Polish capital market and equally-weighted portfolios in two approaches: variance and downside risk. Research methods: The research based on individual securities and portfolios, compares the one-factor risk-return relationships with two-factor ones estimated using mean returns in cross-sectional regressions. The regressors were expressed in absolute terms and classical and downside beta coefficients. The sample includes companies differing in terms of size and across different industries. Main findings: Portfolios with higher classical or downside market betas generate higher mean returns. The negative risk premium for accounting betas for variance and downside risk was identified. It is not in accordance with our earlier study of the Polish construction sector, where a positive and significant risk premium for downside accounting betas was found. The highest explanatory power of rates on returns on the Polish capital market were found for average ROA and ROE. This confirms the results of the previous studies on the Polish capital market for food and construction sectors. (original abstract)
Dostępne w
Biblioteka SGH im. Profesora Andrzeja Grodka
Pełny tekst
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Bibliografia
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  2. Amorim, A., Lima, I., & Murcia, F. (2012). The effect of the firm's capital structure on the systematic risk of common stocks. Cont. Fin. - USP, São Paulo, 23(60), 199-211.
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  8. Fama, E.F., & French, K.R. (2018). Choosing factors. Journal of Financial Economics, 128(2), 234-252. doi:10.1016/j.jfieco.2018.02.012
  9. Galagedera, U.A. (2009). Economic signifiance of downside risk in developed and emerging markets. Applied Economics Letters, 16(16), 1627-1632. doi:10.1080/13504850701604060
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  15. Rutkowska-Ziarko, A. (2015). Influence of profitability ratio and company size on profitability and investment risk in the capital market. Folia Oeconomica Stetinesia, 15(23), 151-161. doi:10.1515/foli-2015-0025
  16. Rutkowska-Ziarko, A., & Pyke, C. (2017). The development of downside accounting beta as a measure of risk. Economics and Business Review, 45(4), 55-65. doi:10.18559/ebr.2017.4.4
  17. Rutkowska-Ziarko, A., & Pyke, C. (2018). Validating downside accounting beta: Evidence from the Polish construction industry. In K. Jajuga, H. Locarek-Junge, L. Orłowski (eds.), Contemporary Trends and Challenges in Finance (pp. 81-87). Proceedings from the 3 rd Wroclaw International Conference in Finance. doi:10.1007/978-3-319-76228-9_8
  18. Rutkowska-Ziarko, A., Markowski, L., & Pyke, C. (2019). Accounting beta in the extended version of CAPM. In K. Jajuga, H. Locarek-Junge, L. Orłowski, K. Staehr (eds.), Contemporary Trends and Challenges in Finance (pp. 147-156). Proceedings from the 4th Wroclaw International Conference in Finance.
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  24. Zaremba, A., Czapkiewicz, A. (2017). Digesting anomalies in emerging European markets: A comparison of factor pricing models. Emerging Markets Review, 31, 1-15. doi:10.1016/j.ememar.2016.12.002
Cytowane przez
Pokaż
ISSN
0459-9586
Język
eng
URI / DOI
http://dx.doi.org/10.17951/h.2020.54.2.103-112
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