Accounting-based CAPM: Symmetrical and downside risk approaches

Lesław Markowski; Przemysław Garsztka; Jacek Mizerka; Anna Rutkowska-Miczka

doi:10.18559/ebr.2026.3.2957

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Accounting-based CAPM: Symmetrical and downside risk approaches

Economics and Business Review

Volume 12 (2026): Issue 3 (September 2026)

By: Lesław Markowski , Przemysław Garsztka , Jacek Mizerka and Anna Rutkowska-Miczka

Open Access

|Oct 2026

Abstract

The complexity of asset return variability justifies supplementing the standard Capital Asset Pricing Model (CAPM) formula with market risk measures based on firms’ fundamental analysis. Moreover, a key area of investigation involves 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.

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Articles in this issue

DOI: https://doi.org/10.18559/ebr.2026.3.2957 | Journal eISSN: 2450-0097 | Journal ISSN: 2392-1641

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Language: English

Page range: 101 - 132

Submitted on: Jan 21, 2026

Accepted on: Sep 10, 2026

Published on: Oct 8, 2026

Published by: Poznań University of Economics and Business Press

In partnership with: Paradigm Publishing Services

Keywords:

CAPM,

profitability ratios,

accounting beta,

downside risk,

downside accounting beta

JEL:

C1, C2, C5, F3, G1

Related subjects:

Business and economics,

Political economics,

Political economics, other,

Mathematics and statistics for economists,

Econometrics,

Finance

© 2026 Lesław Markowski, Przemysław Garsztka, Jacek Mizerka, Anna Rutkowska-Miczka, published by Poznań University of Economics and Business Press
This work is licensed under the Creative Commons Attribution 4.0 License.

Volume 12 (2026): Issue 3 (September 2026)