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