Koubouros, Michail; Malliaropulos, Dimitrios; … - In: The European Journal of Finance 16 (2010) 3, pp. 227-244
This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test...