Implication of Company Risk in Line with the Market Risk

What is the implication of a company's risk being above or below the line ?

Insightfully, I would say either it is above or below the line , it indicates that such company is Riskier than the market. However , this can have a positive or negative impact.

"Above the line" means a company has a more attractive rate of return over the less volatility that is expected at the Capital Asset Pricing Model(CAPM).

"Below the line" is obviously the opposite. This means the company is experiencing more risk , more volatility of return and this will result in producing less overall return.

However, this still balls down to where I said this can either have a positive or negative impact.

"Above the line" ; if the market goes up by X %, then the company's rate of return will go up by X% (vice-versa)

It is important that companies should think about how best they can achieve high rate of return with lower risk where possible.

"Come to think of it, must risk and return on investment go pari-passu ?"