Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?
检验投资者对损失与收益的非对称偏好是否影响现金流与贴现率风险的定价，发现下行市场中的现金流和贴现率贝塔具有最大溢价，且下行现金流风险在样本外有显著预测能力。
Abstract 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.