["Journal of Money, Credit and Banking, EarlyView. ", "\nAbstract\nI investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors. By using a reasonable cross‐section of equity risk premia, such a model is largely rejected (both on statistical and economic grounds), as the factor risk prices are either insignificant and/or economically implausible, whereas the pricing errors are very large. Thus, long‐run consumption risks (LRR) do not rescue the CCAPM, which represents a major challenge for the voluminous LRR literature."]