Asset Pricing with Horizon-Dependent Risk Aversion

  title={Asset Pricing with Horizon-Dependent Risk Aversion},
  author={Marianne Andries and Thomas Eisenbach and Martin C. Schmalz},
We study general equilibrium asset prices in a multi-period endowment economy when agents’ risk aversion is allowed to depend on the horizon of the risk, as introduced in Eisenbach and Schmalz (JFE, forthcoming). In our pseudo-recursive preference framework, agents are time inconsistent for intra-temporal tradeoffs but time consistent for inter-temporal… CONTINUE READING