Filtered consumption growth, constructed from a broad set of macro variables, improves cross-sectional asset pricing on portfolios formed on size, book-to-market equity, and past performance compared to observed consumption growth. I use two methods to construct measures of filtered consumption...

Filtered consumption growths, constructed from a broad set of macro variables, improve cross-sectional asset pricing on portfolios formed on size, book-to-market equity, and past performance compared to observed consumption growth. I use two methods to construct measures of filtered consumption...