---
_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'
...
---
_id: '5108'
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. '
article_type: original
author:
- first_name: Daniel
  full_name: Kreutzmann, Daniel
  last_name: Kreutzmann
- first_name: Sönke
  full_name: Sievers, Sönke
  id: '46447'
  last_name: Sievers
- first_name: Christian
  full_name: Mueller, Christian
  last_name: Mueller
citation:
  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>
  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>
  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} }'
  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>.'
  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>.'
  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>.
  short: D. Kreutzmann, S. Sievers, C. Mueller, Applied Financial Economics (VHB-JOURQUAL
    4 Ranking C) 23 (2013) 977–989.
date_created: 2018-10-31T07:50:58Z
date_updated: 2026-04-09T08:04:59Z
department:
- _id: '275'
doi: 10.1080/09603107.2013.786161
extern: '1'
intvolume: '        23'
issue: '11'
jel:
- G31
- G32
- H21
- H25
keyword:
- corporate tax claim
- company valuation
- optimal investment
- cost of capital
language:
- iso: eng
main_file_link:
- url: https://www.tandfonline.com/doi/full/10.1080/09603107.2013.786161#.VE5YmBZwmAd
page: 977-989
publication: Applied Financial Economics (VHB-JOURQUAL 4 Ranking C)
publication_status: published
publisher: Taylor \& Francis
status: public
title: Investment distortions and the value of the government's tax claim
type: journal_article
user_id: '115848'
volume: 23
year: '2013'
...