[Überarbeitete Version, ursprünglicher Titel: Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns] This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specifcation by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level. Our analysis is based on a broad cross-section of test assets which provides a level playing field for a comparison to established benchmark models. The human capital extended reference level model does a good job in explaining size and value premia. Estimated on Fama and French's size and book-to-market sorted portfolios it outperforms Lettau and Ludvigson's scaled CCAPM and delivers average pricing errors comparable to the Fama-French three-factor model.
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