, size, value, momentum, cashflow volatility, leverage, investment growth, term risk, and default risk. We empirically test …

The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets … book-to-market portfolios are associated with differences in their cash-flow betas, and thus reflect macroeconomic … addition, the results indicate that the risk premium on equity markets is primarily driven by the exposure of assets' cash-flow …

firms have lower cash-flow beta and higher discount-rate beta than firms with high leverage. Although cash-flow beta …

minus overvalued) but is not significant in cheap junk minus expensive quality stocks. If cash-flow beta is the source of … the value premium, we would expect a larger cash-flow beta difference between the cheap quality and expensive junk … that the cash flow beta may only spuriously explain the value premium. Or, at least, the cash-flow risk premium estimated …

month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a … month and affects company announcements, analyst revisions, and stock returns. Using this time variation in cash-flow news …, we show evidence supporting cash-flow news being more persistent than discount-rate news. Individual stock returns …

that a value premium arises, as value stocks have higher idiosyncratic cash-flow volatilities, lower average cash flows …