We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

This paper evaluates the central insight of the consumption capital asset pricing model that an asset's expected return … is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an … asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption growth …