of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …, periods, and return decomposition methods, and is the only component of beta that has significant out-of-sample predictive …

true alpha. Our Bayesian approach is straightforward, has theoretical advantages over the traditional two-pass estimation … and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama … Bayesian model which separates the part of the traditional alpha that can be related to firm and asset characteristics from the …