Researchers tested the conditional consumption-CAPM model utilizing asset holders’ consumption data. The study shows unusual and procyclical time variations in asset holders’ consumption risk prices, contradicting consumption-based equilibrium asset pricing theories. This is true for the aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios. The investigation used household surveys and high-frequency retail shopping data to measure consumption. To strengthen outcome validity, alternative empirical methods were used.

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