I'm studying financial economics/asset pricing and I often hear the terms cashflow risk and discount risk but I'm not sure what they mean? The Campbell/Shiller (1988) decomposition includes cashflows (future dividends) and discount rates (expected returns) and hence identifies both risks?
Apparently, the long run risk model from Bansal and Yaron (2004) and the duration model from Lettau and Wachter (2007) discuss cashflow risk whereas the external habit model from Campbell and Cochrane (1999) is about discount risk? The investment decision model from Berk Green and Naik (1999) apparently includes both? What about the simple CAPM and CCAPM?
Campbell and Vuolteenaho (2004) use an ICAPM set-up to decompose market beta in cashflow and discount component and show that value stocks have higher CF betas.