---
_id: '57941'
author:
- first_name: Ulf
full_name: Mohrmann, Ulf
last_name: Mohrmann
- first_name: Jan
full_name: Riepe, Jan
id: '86351'
last_name: Riepe
citation:
ama: Mohrmann U, Riepe J. The link between the share of banks’ Level 3 assets and
their default risk and default costs. Review of Quantitative Finance and Accounting.
2018;52(4):1163-1189. doi:10.1007/s11156-018-0740-7
apa: Mohrmann, U., & Riepe, J. (2018). The link between the share of banks’
Level 3 assets and their default risk and default costs. Review of Quantitative
Finance and Accounting, 52(4), 1163–1189. https://doi.org/10.1007/s11156-018-0740-7
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={10.1007/s11156-018-0740-7},
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} }'
chicago: 'Mohrmann, Ulf, and Jan Riepe. “The Link between the Share of Banks’ Level
3 Assets and Their Default Risk and Default Costs.” Review of Quantitative
Finance and Accounting 52, no. 4 (2018): 1163–89. https://doi.org/10.1007/s11156-018-0740-7.'
ieee: 'U. Mohrmann and J. Riepe, “The link between the share of banks’ Level 3 assets
and their default risk and default costs,” Review of Quantitative Finance and
Accounting, vol. 52, no. 4, pp. 1163–1189, 2018, doi: 10.1007/s11156-018-0740-7.'
mla: Mohrmann, Ulf, and Jan Riepe. “The Link between the Share of Banks’ Level 3
Assets and Their Default Risk and Default Costs.” Review of Quantitative Finance
and Accounting, vol. 52, no. 4, Springer Science and Business Media LLC, 2018,
pp. 1163–89, doi:10.1007/s11156-018-0740-7.
short: U. Mohrmann, J. Riepe, Review of Quantitative Finance and Accounting 52 (2018)
1163–1189.
date_created: 2025-01-06T08:33:31Z
date_updated: 2025-01-06T08:33:38Z
doi: 10.1007/s11156-018-0740-7
intvolume: ' 52'
issue: '4'
language:
- iso: eng
page: 1163-1189
publication: Review of Quantitative Finance and Accounting
publication_identifier:
issn:
- 0924-865X
- 1573-7179
publication_status: published
publisher: Springer Science and Business Media LLC
status: public
title: The link between the share of banks’ Level 3 assets and their default risk
and default costs
type: journal_article
user_id: '91345'
volume: 52
year: '2018'
...
---
_id: '20863'
abstract:
- lang: eng
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.
article_type: original
author:
- first_name: Tobias
full_name: Schlueter, Tobias
last_name: Schlueter
- first_name: Sönke
full_name: Sievers, Sönke
id: '46447'
last_name: Sievers
citation:
ama: 'Schlueter T, Sievers S. Determinants of market beta: the impacts of firm-specific
accounting figures and market conditions. Review of Quantitative Finance and
Accounting (VHB-JOURQUAL 3 Ranking B). 2013;(3):535-570. doi:10.1007/s11156-013-0352-1'
apa: 'Schlueter, T., & Sievers, S. (2013). Determinants of market beta: the
impacts of firm-specific accounting figures and market conditions. Review of
Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B), (3), 535–570.
https://doi.org/10.1007/s11156-013-0352-1'
bibtex: '@article{Schlueter_Sievers_2013, title={Determinants of market beta: the
impacts of firm-specific accounting figures and market conditions}, DOI={10.1007/s11156-013-0352-1},
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}
}'
chicago: 'Schlueter, Tobias, and Sönke Sievers. “Determinants of Market Beta: The
Impacts of Firm-Specific Accounting Figures and Market Conditions.” Review
of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B), no. 3 (2013):
535–70. https://doi.org/10.1007/s11156-013-0352-1.'
ieee: 'T. Schlueter and S. Sievers, “Determinants of market beta: the impacts of
firm-specific accounting figures and market conditions,” Review of Quantitative
Finance and Accounting (VHB-JOURQUAL 3 Ranking B), no. 3, pp. 535–570, 2013.'
mla: 'Schlueter, Tobias, and Sönke Sievers. “Determinants of Market Beta: The Impacts
of Firm-Specific Accounting Figures and Market Conditions.” Review of Quantitative
Finance and Accounting (VHB-JOURQUAL 3 Ranking B), no. 3, 2013, pp. 535–70,
doi:10.1007/s11156-013-0352-1.'
short: T. Schlueter, S. Sievers, Review of Quantitative Finance and Accounting (VHB-JOURQUAL
3 Ranking B) (2013) 535–570.
date_created: 2021-01-05T09:28:36Z
date_updated: 2022-01-06T06:54:41Z
department:
- _id: '275'
doi: 10.1007/s11156-013-0352-1
extern: '1'
issue: '3'
jel:
- C36
- G11
- G12
keyword:
- CAPM
- Cost of capital
- Accounting beta
- Intrinsic business risk
- Growth risk
- Instrumental variables
language:
- iso: eng
main_file_link:
- url: https://link.springer.com/article/10.1007/s11156-013-0352-1
page: 535-570
publication: Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking
B)
publication_identifier:
issn:
- 0924-865X
- 1573-7179
publication_status: published
quality_controlled: '1'
status: public
title: 'Determinants of market beta: the impacts of firm-specific accounting figures
and market conditions'
type: journal_article
user_id: '46447'
year: '2013'
...