Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples …, periods, and return decomposition methods, and is the only component of beta that has significant out-of-sample predictive … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears …