Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - In: Journal of Financial and Quantitative Analysis 47 (2012) 06, pp. 1279-1301
We test whether asymmetric preferences for losses versus gains affect the prices of cash flow versus discount rate risk. We construct a return decomposition distinguishing cash flow and discount rate betas in up and down markets. Using U.S. data, we find that downside cash flow and discount rate...