The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a market portfolio-oriented capital asset pricing model. Measurement problems associated with reported aggregate consumption are analyzed, and some adjustments for these problems are incorporated. When using measured aggregate consumption to estimate risk, the evidence on the validity of the parameter restrictions is mixed. The CCAPM is reformulated in terms of a return on the portfolio of assets which has maximum correlation with real aggregate consumption growth. For the overall period, the ex ante mean-variance efficiency of this portfolio is rejected, which is inconsistent with the CCAPM. For all tests the market price of consumption risk is significantly positive. Estimates of the expected real return on the zero consumption beta portfolio are less than 0.15 per cent (annualized) for all subperiods.