Breeden’s consumption-based CAPM equation for forward contracts contains an extra term relative to that for cash assets. This new term is a strategy risk premium that compensates investors for the systematic risk that stems from their using nonredundant forward contracts. Merton’s multibeta CAPM must also be amended for forward contracts. In general, the cash-and-carry formula does not hold.
LIOUI, A. et PONCET, P. (2003). General Equilibrium Pricing of Nonredundant Forward Contracts. Journal of Futures Markets, pp. 817-840.