How does (C)CAPM digest anomalies?

In a pioneering effort, we re-evaluate the performance of (C)CAPM (joint CAPM and consumption CAPM) in digesting a large number of anomalies. Our key contribution illustrates that the performance of (C)CAPM appears to be quite sensitive to the choice of weighting matrix. OLS cross-sectional regression reveals the poor performance of (C)CAPM. In contrast, the CAPM model actually explains a large portion of anomalies quite well when using an efficient weighting matrix (GLS), indicating that the prior expectation that the CAPM exhibits poor empirical performance should fundamentally be reversed.