Cross-sectional consumption-based asset pricing: A reappraisal

•The timing convention is crucial for the CCAPM's cross-sectional pricing abilities.•With beginning-of-period consumption, the model explains the size and value effects.•With standard end-of-period consumption, the model completely breaks down.

The consumption-based asset pricing model with constant relative risk aversion explains the size and value premiums in US data over the period 1929 to 2014. The timing convention used for consumption is crucial for this result. The model matches the cross-sectional variation in mean returns on size and value portfolios with beginning-of-period consumption, but the fit of the model completely breaks down with end-of-period consumption.