Michel Lubrano : michel.lubrano[at]univ-amu.fr
Pierre Michel : pierre.michel[at]univ-amu.fr
Eric Girardin : eric.girardin[at]univ-amu.fr
We find that consumption-weighted cross-sectional moments of countries' con-sumption growth are useful factors to explain variation in expected returns across international stock market indices. The skewness alone explains 32% of that vari-ation. The first four moments explain a higher proportion compared to the three global Fama-French factors. However, these positive results are contrasted by two facts. First, identification of the prices of risk is rejected; second, prices of risk are not statistically significant and the factors explain only 2.5% of the variability of the ex-post model-free stochastic discount factor extracted from the asset menu.