First, what is your beta (let's call it B)? For an investment, suppose you have B% in market the portfolio, and (1-B)% in a risk-free portfolio. Assume that the market returns Rm, and a risk-free portfolio returns Rf.

Your return, in terms of percentage, is thus

Return = B * Rm + (1-B)*Rf
Return = B*(Rm - Rf ) + Rf

Notice that Rm - Rf is the premium of the market portfolio.

Now, if B > 1, it means you are borrowing (1-B is negative). This borrowed money is used to buy more of the market portfolio (assumed you borrow at the risk-free rate, Rf). Does the formula still work? You bet.

Return = Return from my portfolio - Interest payments on Borrowed money
Return = B * Rm - (1 - B) * Rf

This is the same formula above. Remember, you are "borrowing" only if B > 1. Beta shows the amount you are effectively borrowing (your risk). The more you borrow, the higher your beta. The return of a high-beta company can, in theory, be replicated by borrowing the required amount and investing in the market portfolio.

Intuition

Why does borrowing increase risk? When you invest your own money, if you lose it, that's it. You don't have to pay it back to anyone, you just lost it to yourself. When you borrow money, things become risky. No matter what happens, you must pay the loan back, even if you lose it! The good news is that you can get extra returns. Suppose you have $25 and double your money, to $50. You make a nice 100% profit.

Now, suppose you have $25 and you borrow $75. If you double your money (turn that $100 into $200), you can pay back the $75 and keep the other $125 - a 500% profit on your original investment of $25. The downside is that if you lose that money (turn $100 into $0), you lost your original $25 and still have to pack back $75, another 300% loss. If you don't borrow and lose all your money, you are limited to a 100% loss.