Multibeta asset pricing models are examined in a framework which exploits time-varying, conditional expected returns to estimate conditional betas. Examples include multiple-consumption-beta moels and models where common stock “size portfolios” and a real bond return “mimic” ecnomic risk factors. Preliminary evidence using quarterly data suggests that a two-or-three-factor, constant-beta model captures the conditional expected returns shen the factors are not specified. However, the hypothesis that the consumption variables can proxy for asset pricing factors seems to be strongly rejected. Similar results are obtained, assuming that asset returns proxy for the risk factors.