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 (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 … contemporaneous covariance of its return and consumption growth -- as done in the previous literature on the C-CAPM and the pattern of …