This paper decomposes the overall market (CAPM)risk into parts reflecting uncertainty related to the long-run dynamic of portfolio-specific and market cash flows and iiscount rates. We decompose market betas into four sub-betas (associated with assets' and market's cash flow and discount rates) and we employ a discrete time version of the I-CAPM to derive a four-beta model. The model performs well in pricing average returns on single-and double-sorted portfolios according to size, book-to-market, dividend-price ratios and past risk, by producing high extimates for the explained cross-sectional variation in average returns and economically and statistically acceptable estimates for the coefficent of relative risk aversion.