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

loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …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 …

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather that measure the risk of a portfolio by the … cross-sectional returns -- we measure the risk of a portfolio by its ultimate consumption risk defined as the covariance of …