Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2014
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 …