This paper proposes to extend the consumption-based capital asset pricing model (C-CAPM). We use the concept of expectation dependence and show that first-degree expectation dependence (FED) determines the C-CAPM's riskiness. We extend the assumption of risk aversion to prudence and propose a measure of second-degree expectation dependence (SED) to account for downside risk in obtaining asset prices. These theoretical results are linked to the equity premium puzzle. Our estimated measures of relative risk aversion correspond to the theoretical values often discussed in the literature. We show that consumption SED risk is the fundamental source of macroeconomic risk driving asset prices.