TY - JOUR AB - 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. AU - Schlueter, Tobias AU - Sievers, Sönke ID - 20863 IS - 3 JF - Review of Quantitative Finance and Accounting (VHB-JOURQUAL 3 Ranking B) KW - CAPM KW - Cost of capital KW - Accounting beta KW - Intrinsic business risk KW - Growth risk KW - Instrumental variables SN - 0924-865X TI - Determinants of market beta: the impacts of firm-specific accounting figures and market conditions ER - TY - JOUR AB - 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. AU - Kreutzmann, Daniel AU - Sievers, Sönke AU - Mueller, Christian ID - 5108 IS - 11 JF - Applied Financial Economics (VHB-JOURQUAL 3 Ranking C) KW - corporate tax claim KW - company valuation KW - optimal investment KW - cost of capital TI - Investment distortions and the value of the government's tax claim VL - 23 ER -