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Garsztka, Przemysław; Lesław Markowski; Anna Rutkowska-Miczka; Jacek Mizerka, 2025, "Research data for the article "Accounting-Based CAPM: Symmetrical and Downside Risk Approaches"", https://doi.org/10.18150/6VQF3B, RepOD, V1
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One of the fundamental tools for capital asset valuation remains the Capital Asset Pricing Model (CAPM). However, its standard formulation rooted in assumptions about investor behavior and return distributions proves insufficient in capturing the full complexity of asset return volatility. It appears justified to supplement market-based risk measures with variables derived from the fundamental analysis of firms. The primary objective of this study is therefore to test non-standard extensions of the CAPM that incorporate accounting-based information, specifically profitability ratios and accounting beta coefficients. A key focus of the research is the downside pricing approach, particularly the development and assessment of downside accounting betas. The empirical analysis was conducted on a sample of firms of various sizes included in the major indices of the Frankfurt Stock Exchange, with a separate examination of large-cap companies. The research period spans ten years, from 2015 to 2024.
CAPM, profitability ratios, accounting beta, downside risk
Accounting-Based CAPM: Symmetrical and Downside Risk Approaches doi:
CC0 Creative Commons Zero 1.0
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