The main aim of the work is to test new and non-standard versions of CAPM, based on accounting information and downside risk measures. Two innovative conditional CAPM models incorporating accounting information have been proposed. Average values of profitability ratios and accounting betas proved significant sources of systematic risk. In addition, the results confirm the legitimacy of the conditional approach to CAPM testing. The positive premium for downside risk on NYSE has been found. The innovative approach to CAPM testing extended by accounting factors indicates the importance of including accounting variables in the pricing of assets on the capital market.

中文翻译：

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标准和会计风险方法中的条件 CAPM 关系

这项工作的主要目的是根据会计信息和下行风险衡量标准测试 CAPM 的新版本和非标准版本。提出了两种结合会计信息的创新条件 CAPM 模型。盈利率和会计贝塔值的平均值被证明是系统性风险的重要来源。此外，结果证实了 CAPM 测试的条件方法的合法性。纽约证券交易所下行风险的正溢价已经被发现。通过会计因素扩展的 CAPM 测试的创新方法表明了将会计变量纳入资本市场资产定价的重要性。