---
_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. <i>Review of Quantitative Finance and
    Accounting (VHB-JOURQUAL 4 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>'
  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 4 Ranking B)</i>, <i>3</i>,
    535–570. <a href="https://doi.org/10.1007/s11156-013-0352-1">https://doi.org/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
    4 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.” <i>Review
    of Quantitative Finance and Accounting (VHB-JOURQUAL 4 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>.'
  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 4 Ranking B)</i>, no. 3, pp. 535–570, 2013,
    doi: <a href="https://doi.org/10.1007/s11156-013-0352-1">10.1007/s11156-013-0352-1</a>.'
  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 4 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
    4 Ranking B) (2013) 535–570.
date_created: 2021-01-05T09:28:36Z
date_updated: 2026-04-09T08:02:58Z
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 4 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: '115848'
year: '2013'
...