Determinants of market beta: the impacts of firm-specific accounting figures and market conditions

T. Schlueter, S. Sievers, Review of Quantitative Finance and Accounting 42 (2014) 535–570.

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Journal Article | Published | English
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Abstract
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.
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Journal Title
Review of Quantitative Finance and Accounting
Volume
42
Issue
3
Page
535-570
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Schlueter T, Sievers S. Determinants of market beta: the impacts of firm-specific accounting figures and market conditions. Review of Quantitative Finance and Accounting. 2014;42(3):535-570. doi:10.2139/ssrn.1813535
Schlueter, T., & Sievers, S. (2014). Determinants of market beta: the impacts of firm-specific accounting figures and market conditions. Review of Quantitative Finance and Accounting, 42(3), 535–570. https://doi.org/10.2139/ssrn.1813535
@article{Schlueter_Sievers_2014, title={Determinants of market beta: the impacts of firm-specific accounting figures and market conditions}, volume={42}, DOI={10.2139/ssrn.1813535}, number={3}, journal={Review of Quantitative Finance and Accounting}, author={Schlueter, Tobias and Sievers, Sönke}, year={2014}, pages={535–570} }
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 42, no. 3 (2014): 535–70. https://doi.org/10.2139/ssrn.1813535.
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, vol. 42, no. 3, pp. 535–570, 2014.
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, vol. 42, no. 3, 2014, pp. 535–70, doi:10.2139/ssrn.1813535.

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