[{"title":"The link between the share of banks’ Level 3 assets and their default risk and default costs","doi":"10.1007/s11156-018-0740-7","publisher":"Springer Science and Business Media LLC","date_updated":"2025-01-06T08:33:38Z","author":[{"last_name":"Mohrmann","full_name":"Mohrmann, Ulf","first_name":"Ulf"},{"first_name":"Jan","last_name":"Riepe","id":"86351","full_name":"Riepe, Jan"}],"date_created":"2025-01-06T08:33:31Z","volume":52,"year":"2018","citation":{"chicago":"Mohrmann, Ulf, and Jan Riepe. “The Link between the Share of Banks’ Level 3 Assets and Their Default Risk and Default Costs.” <i>Review of Quantitative Finance and Accounting</i> 52, no. 4 (2018): 1163–89. <a href=\"https://doi.org/10.1007/s11156-018-0740-7\">https://doi.org/10.1007/s11156-018-0740-7</a>.","ieee":"U. Mohrmann and J. Riepe, “The link between the share of banks’ Level 3 assets and their default risk and default costs,” <i>Review of Quantitative Finance and Accounting</i>, vol. 52, no. 4, pp. 1163–1189, 2018, doi: <a href=\"https://doi.org/10.1007/s11156-018-0740-7\">10.1007/s11156-018-0740-7</a>.","ama":"Mohrmann U, Riepe J. The link between the share of banks’ Level 3 assets and their default risk and default costs. <i>Review of Quantitative Finance and Accounting</i>. 2018;52(4):1163-1189. doi:<a href=\"https://doi.org/10.1007/s11156-018-0740-7\">10.1007/s11156-018-0740-7</a>","short":"U. Mohrmann, J. Riepe, Review of Quantitative Finance and Accounting 52 (2018) 1163–1189.","bibtex":"@article{Mohrmann_Riepe_2018, title={The link between the share of banks’ Level 3 assets and their default risk and default costs}, volume={52}, DOI={<a href=\"https://doi.org/10.1007/s11156-018-0740-7\">10.1007/s11156-018-0740-7</a>}, number={4}, journal={Review of Quantitative Finance and Accounting}, publisher={Springer Science and Business Media LLC}, author={Mohrmann, Ulf and Riepe, Jan}, year={2018}, pages={1163–1189} }","mla":"Mohrmann, Ulf, and Jan Riepe. “The Link between the Share of Banks’ Level 3 Assets and Their Default Risk and Default Costs.” <i>Review of Quantitative Finance and Accounting</i>, vol. 52, no. 4, Springer Science and Business Media LLC, 2018, pp. 1163–89, doi:<a href=\"https://doi.org/10.1007/s11156-018-0740-7\">10.1007/s11156-018-0740-7</a>.","apa":"Mohrmann, U., &#38; Riepe, J. (2018). The link between the share of banks’ Level 3 assets and their default risk and default costs. <i>Review of Quantitative Finance and Accounting</i>, <i>52</i>(4), 1163–1189. <a href=\"https://doi.org/10.1007/s11156-018-0740-7\">https://doi.org/10.1007/s11156-018-0740-7</a>"},"page":"1163-1189","intvolume":"        52","publication_status":"published","publication_identifier":{"issn":["0924-865X","1573-7179"]},"issue":"4","language":[{"iso":"eng"}],"_id":"57941","user_id":"91345","status":"public","type":"journal_article","publication":"Review of Quantitative Finance and Accounting"},{"main_file_link":[{"url":"https://link.springer.com/article/10.1007/s11156-013-0352-1"}],"doi":"10.1007/s11156-013-0352-1","date_updated":"2022-01-06T06:54:41Z","author":[{"first_name":"Tobias","full_name":"Schlueter, Tobias","last_name":"Schlueter"},{"last_name":"Sievers","full_name":"Sievers, Sönke","id":"46447","first_name":"Sönke"}],"jel":["C36","G11","G12"],"citation":{"ieee":"T. Schlueter and S. Sievers, “Determinants of market beta: the impacts of firm-specific accounting figures and market conditions,” <i>Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B)</i>, no. 3, pp. 535–570, 2013.","chicago":"Schlueter, Tobias, and Sönke Sievers. “Determinants of Market Beta: The Impacts of Firm-Specific Accounting Figures and Market Conditions.” <i>Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B)</i>, no. 3 (2013): 535–70. <a href=\"https://doi.org/10.1007/s11156-013-0352-1\">https://doi.org/10.1007/s11156-013-0352-1</a>.","ama":"Schlueter T, Sievers S. Determinants of market beta: the impacts of firm-specific accounting figures and market conditions. <i>Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B)</i>. 2013;(3):535-570. doi:<a href=\"https://doi.org/10.1007/s11156-013-0352-1\">10.1007/s11156-013-0352-1</a>","bibtex":"@article{Schlueter_Sievers_2013, title={Determinants of market beta: the impacts of firm-specific accounting figures and market conditions}, DOI={<a href=\"https://doi.org/10.1007/s11156-013-0352-1\">10.1007/s11156-013-0352-1</a>}, number={3}, journal={Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B)}, author={Schlueter, Tobias and Sievers, Sönke}, year={2013}, pages={535–570} }","mla":"Schlueter, Tobias, and Sönke Sievers. “Determinants of Market Beta: The Impacts of Firm-Specific Accounting Figures and Market Conditions.” <i>Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B)</i>, no. 3, 2013, pp. 535–70, doi:<a href=\"https://doi.org/10.1007/s11156-013-0352-1\">10.1007/s11156-013-0352-1</a>.","short":"T. Schlueter, S. Sievers, Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B) (2013) 535–570.","apa":"Schlueter, T., &#38; Sievers, S. (2013). Determinants of market beta: the impacts of firm-specific accounting figures and market conditions. <i>Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B)</i>, (3), 535–570. <a href=\"https://doi.org/10.1007/s11156-013-0352-1\">https://doi.org/10.1007/s11156-013-0352-1</a>"},"page":"535-570","publication_status":"published","publication_identifier":{"issn":["0924-865X","1573-7179"]},"article_type":"original","extern":"1","_id":"20863","user_id":"46447","department":[{"_id":"275"}],"status":"public","type":"journal_article","title":"Determinants of market beta: the impacts of firm-specific accounting figures and market conditions","date_created":"2021-01-05T09:28:36Z","year":"2013","quality_controlled":"1","issue":"3","keyword":["CAPM","Cost of capital","Accounting beta","Intrinsic business risk","Growth risk","Instrumental variables"],"language":[{"iso":"eng"}],"abstract":[{"text":"This article examines and extends research on the relation between the capital asset pricing model market beta, accounting risk measures and macroeconomic risk factors. We employ a beta decomposition approach that nests competing models with different business risk proxies and allows to frame cross-model comparison. Because model tests require estimated independent variables resulting in measurement error, we empirically estimate three comparable model specifications with instrumental variable estimators and for the first time provide thorough instrument diagnostics in this setting. Correcting for the heretofore neglected weak instruments problem we find that growth risk (i.e., the risk of firm sales variations that are inconsistent with the market wide trends), is the business risk that explains cross-sectional variations in market beta best.","lang":"eng"}],"publication":"Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B)"}]