We study general equilibrium asset prices in a multi-period endowment economy when agents’ risk aversion is allowed to depend on the maturity of the risk. We find horizon-dependent risk aversion preferences generate a decreasing term structure of risk premia if and only if volatility is...

I incorporate loss aversion in a consumption-based asset pricing model with recursive preferences and solve for asset prices in closed-form. I find loss aversion increases expected returns substantially relative to the standard recursive utility model. This feature of my model improves the...

We propose a theory of inattention solely based on preferences, absent any cognitive limitations, or external costs of acquiring information. Under disappointment aversion, information decisions and risk attitude are intertwined, and agents are intrinsically information averse. We illustrate...