Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010
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 …
