An equilibrium pricing model with time-varying conditional moments of consumption growth is used to analyze the behavior of conditional moments of stock returns for long and short investment horizons. We examine the behavior over time of estimates of the conditional means and variances of consumption growth and returns. Business cycles appear to be associated with all of these estimates. The tendency for estimates of the price of risk to be higher during recessions, when coupled with the business-cycle variation in estimates of the moments of consumption growth, appears to be consistent with the pricing model.