Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns, Journal of Finance
When consumption betas of stocks are computed using consumption growth from 4th quarter of one year to the next, the CCAPM explains the cross section of stock returns as well as the Fama and French (1993) three factor model. The CCAPM performance deteriorates substantially when consumption growth is measured over other quarters. For the CCAPM to hold at any given point in time, investors must be making their consumption and investment decisions simultaneously at that point in time. We suspect that it is more likely to happen during the fourth quarter given its larger informational importance and the ending of the tax year.
Ravi Jagannathan, Yong Wang
Jagannathan, Ravi, and Yong Wang. 2007. Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns. Journal of Finance. 62(4): 1623-1661.