CAPM model adjustment for company valuation using accounting variables
CAPM. Extension. Model.
The present research aims to propose an extension to the financial asset pricing model usingaccounting variables and logistic regression. To achieve this objective, data from all companies traded on the New York Stock Exchange (NYSE) were used, extracted from the Economatica©platform, covering the period from 2005 to 2021. Based on the data of accounting indicatorssuch as Return on Assets, Return on Invested Capital, EBITDA, Market Capitalization, CompanyBeta (relative to the S&P 500 index), Free Cash Flow, Operating Cycle, Financial Cycle, EBIT, and Degree of Financial Leverage, an indicator σ was created for the development of the study.