Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - Tinbergen Institute - 2010
of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … decomposition, distinguishing cash flow and discount rate betas in up and down markets. Using CRSP data over 1963--2008, we find … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …