definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an …

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 …

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward …-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed … first systematic comparison between six different implied beta estimators, which provides some guidance for applications and …

-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long …. A pure long-memory model reliably provides superior beta forecasts compared to all alternatives. Finally, we document …