The paper addresses two topics. First, it nests the consumption and static CAPM in a unified framework. Second, it tests for market efficiency. The first test is based on the idea that different models price risk on the basis of the covariance with different benchmark portfolios. The test of market efficiency is based on the idea that excess returns should be predictable only if risk, and therefore second moments, are predictable. The empirical results show that the static CAPM performs better than the consumption CAPM and that the former model accounts for the effects of dividend yields on expected returns.