We derive theoretical expressions for market betas from a rational expectation equilibrium model where the representative investor does not observe if the economy is in a recession or an expansion. Market betas in this economy are time-varying and related to investor uncertainty about the state of the economy. The dynamics of betas will also vary across assets according to the assets' cash-flow structure. In a calibration exercise, we show that value and growth firms have cash-flow structures that imply an opposing beta dynamics that goes in the direction of solving the value premium puzzle. During high uncertainty periods, value betas are higher while growth betas are lower. We estimate conditional betas empirically using proxies for investor uncertainty and show support of the model's prediction about the dynamics of growth and value betas.