Many tests have rejected the implications of the consumption CAPM for
data on U.S. asset returns. All of the tests, though, assume that the
pricing errors satisfy the Central Limit Theorem. I provide empirical
evidence that the marginal distributions of the pricing errors are so
heavy-tailed that they do not satisfy the Central Limit Theorem. Using
recent work on jackknifing, I construct a method of testing asset pricing
models with heavy-tailed errors. Using this procedure, I find that the
consumption CAPM is not rejected by annual U.S. data.