Panopoulou, Ekaterini; Koubouros, M.; Malliaropulos, D. - Department of Economics, National University of Ireland - 2005
This paper decomposes the overall market (CAPM) risk into parts re.ecting uncertainty related to the long-run dynamics of portfolio-speci.c and market cash .ows and discount rates. We decompose market betas into four sub-betas (as- sociated with assets.and market.s cash .ows and discount rates)...