Schlueter, Tobias; Sievers, Soenke - In: Review of Quantitative Finance and Accounting 42 (2014) 3, pp. 535-570
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...