International consumption growth rates across countries have a relatively low correlation. This well-established finding in the data apparently suggests a correspondingly low degree of risk-sharing. At the same time, financial asset returns appear to have a higher degree of correlation, suggesting greater risk-sharing. An obstacle in relating these two phenomena in the past has been the lack of models that can jointly explain asset returns and consumption data. However, recent advances in consumption asset pricing models have filled this gap, allowing for studies of consumption risk-sharing that are informed by the behavior of asset returns. In this paper, I provide a critique of the progress made in this literature and also point to areas that remain open questions.