regularities by developing a new firmbased trade model wherein managers are risk averse. Higher volatility induces the reallocation …

term structure of risk premia if the pricing of volatility risk is downward sloping (in absolute value) in the data and if …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 riskaversion preferences generate a decreasing term structure …