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Cash Flow and Discount Rate Risk in Up and Down Markets: What is Actually Priced?
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 betas carry the largest premia. Downside cash flow risk is priced consistently across different samples, periods, and return decomposition methods. It is the only component of beta with significant out-of-sample predictive ability. Downside cash flow premia mainly occur for small stocks, while large stocks are compensated for symmetric cash flow related risk..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JFQA4706 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Cambridge: Cambridge University Press |
|---|---|
| Edisi | - |
| Subjek | Asset pricing Downside risk beta upside risk cash fl ow risk discount rate risk |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |