We study the time-series behavior of portfolio and market specific dividend-growth rates' and discount rates' components of total market risk (CAPM beta). Employing a VAR(1)-GARCH(1,1) methodology and a set of US 20 single-sorted book-to-market and size portfolios from 1928-2001, we show that...

This paper examines whether the overall market risk, along with risks reflecting uncertainty related to the long run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on single-sorted portfolios in the Greek stock market. Our results suggest that a...