Consumption-based asset pricing models have failed to explain the cross-section of asset returns in Japan as well as in the U.S. In this paper, following Lettau and Ludvigson (2001a, b), we estimate a multi-factor model including the consumption-wealth ratio as a conditioning variable for Japanese data. With the data from April 1984 to March 2000, it is shown that the log consumption-stock price ratio has a significant explanatory power for the cross-section of Tokyo stock exchange. The consumption-stock price ratio is a slow-moving variable. It is more appropriate to consider it as a conditioning variable capturing underlying general market condition rather than considering it as a risk factor that explains short-run stochastic variation of stock market.