attractive attracted under risk conditions. …

market price of risk, stock return, and volatility. An economy populated with only loss-averse agents produces one counter …-factual property of asset price: the return volatility and the market price of risk are higher in good times than in bad times. The … coexistence of both loss-averse and risk-averse agents in the economy helps fixing this undesirable property and also explains the …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …