Abstract: In the paper, the authors estimate the consumption-based capital asset pricing model with internal expected utility of habit formation or local durability--Constantinides model by Generalized Method of Moments (GMM), and conclude that, ( 1 ) tests of overidentification show that the estimated models can‘ t be rejected at normal significance levels; (2) rational investors who are risk averse become irrational who are risk-seeker after June 2001; (3) the representative investor‘ s intertemporal preferences show the property of their habit formation in the bear markets, but display their local durability in the bull markets.