[{"title":"Determinants of market beta: the impacts of firm-specific accounting figures and market conditions","date_created":"2021-01-05T09:28:36Z","year":"2013","issue":"3","quality_controlled":"1","language":[{"iso":"eng"}],"keyword":["CAPM","Cost of capital","Accounting beta","Intrinsic business risk","Growth risk","Instrumental variables"],"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."}],"publication":"Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B)","main_file_link":[{"url":"https://link.springer.com/article/10.1007/s11156-013-0352-1"}],"doi":"10.1007/s11156-013-0352-1","author":[{"first_name":"Tobias","full_name":"Schlueter, Tobias","last_name":"Schlueter"},{"first_name":"Sönke","last_name":"Sievers","full_name":"Sievers, Sönke","id":"46447"}],"date_updated":"2026-04-09T08:02:58Z","citation":{"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>","short":"T. Schlueter, S. Sievers, Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B) (2013) 535–570.","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} }","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>.","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>","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>.","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>."},"jel":["C36","G11","G12"],"page":"535-570","publication_status":"published","publication_identifier":{"issn":["0924-865X","1573-7179"]},"extern":"1","article_type":"original","user_id":"115848","department":[{"_id":"275"}],"_id":"20863","status":"public","type":"journal_article"},{"type":"journal_article","status":"public","_id":"5108","department":[{"_id":"275"}],"user_id":"115848","article_type":"original","extern":"1","publication_status":"published","intvolume":"        23","page":"977-989","citation":{"ieee":"D. Kreutzmann, S. Sievers, and C. Mueller, “Investment distortions and the value of the government’s tax claim,” <i>Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)</i>, vol. 23, no. 11, pp. 977–989, 2013, doi: <a href=\"https://doi.org/10.1080/09603107.2013.786161\">10.1080/09603107.2013.786161</a>.","chicago":"Kreutzmann, Daniel, Sönke Sievers, and Christian Mueller. “Investment Distortions and the Value of the Government’s Tax Claim.” <i>Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)</i> 23, no. 11 (2013): 977–89. <a href=\"https://doi.org/10.1080/09603107.2013.786161\">https://doi.org/10.1080/09603107.2013.786161</a>.","ama":"Kreutzmann D, Sievers S, Mueller C. Investment distortions and the value of the government’s tax claim. <i>Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)</i>. 2013;23(11):977-989. doi:<a href=\"https://doi.org/10.1080/09603107.2013.786161\">10.1080/09603107.2013.786161</a>","bibtex":"@article{Kreutzmann_Sievers_Mueller_2013, title={Investment distortions and the value of the government’s tax claim}, volume={23}, DOI={<a href=\"https://doi.org/10.1080/09603107.2013.786161\">10.1080/09603107.2013.786161</a>}, number={11}, journal={Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)}, publisher={Taylor \\&#38; Francis}, author={Kreutzmann, Daniel and Sievers, Sönke and Mueller, Christian}, year={2013}, pages={977–989} }","short":"D. Kreutzmann, S. Sievers, C. Mueller, Applied Financial Economics (VHB-JOURQUAL 4 Ranking C) 23 (2013) 977–989.","mla":"Kreutzmann, Daniel, et al. “Investment Distortions and the Value of the Government’s Tax Claim.” <i>Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)</i>, vol. 23, no. 11, Taylor \\&#38; Francis, 2013, pp. 977–89, doi:<a href=\"https://doi.org/10.1080/09603107.2013.786161\">10.1080/09603107.2013.786161</a>.","apa":"Kreutzmann, D., Sievers, S., &#38; Mueller, C. (2013). Investment distortions and the value of the government’s tax claim. <i>Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)</i>, <i>23</i>(11), 977–989. <a href=\"https://doi.org/10.1080/09603107.2013.786161\">https://doi.org/10.1080/09603107.2013.786161</a>"},"jel":["G31","G32","H21","H25"],"date_updated":"2026-04-09T08:04:59Z","volume":23,"author":[{"full_name":"Kreutzmann, Daniel","last_name":"Kreutzmann","first_name":"Daniel"},{"last_name":"Sievers","full_name":"Sievers, Sönke","id":"46447","first_name":"Sönke"},{"full_name":"Mueller, Christian","last_name":"Mueller","first_name":"Christian"}],"doi":"10.1080/09603107.2013.786161","main_file_link":[{"url":"https://www.tandfonline.com/doi/full/10.1080/09603107.2013.786161#.VE5YmBZwmAd"}],"publication":"Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)","abstract":[{"lang":"eng","text":"This study integrates the government in the context of company valuation. Our framework allows to analyze and to quantify the risk-sharing effects and conflicts of interest between the government and the shareholders when firms follow different financial policies. We provide novel evidence that firms with fixed future levels of debt might invest more than socially desirable. Economically, this happens if the gain in tax-shields is big enough to outweigh the loss in the unlevered firm value. Our findings have implications for the practice of investment subsidy programs provided by the government to avoid fostering investments beyond the socially optimal level. "}],"keyword":["corporate tax claim","company valuation","optimal investment","cost of capital"],"language":[{"iso":"eng"}],"issue":"11","year":"2013","publisher":"Taylor \\& Francis","date_created":"2018-10-31T07:50:58Z","title":"Investment distortions and the value of the government's tax claim"}]