We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor …

We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian … short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a … of the standard CAPM and the consumption CAPM in explaining these well-documented return behaviors …