I show that time-varying risk aversion can generate a term structure of equity risk premia that is upward sloping in bad times and downward sloping in good times. I derive three conditions that jointly generate this result. First, risk aversion is negatively correlated with consumption growth....

We study conditions under which the threshold parameter in the Omega ratio represents risk aversion in the sense of monotonicity of risk premia. To this end, we derive asymptotic expansions for risk premia associated with taking a small additional risk on top of a background risk. These risk...