Generalized Disappointment Aversion and Asset Prices

@inproceedings{Routledge2003GeneralizedDA,
  title={Generalized Disappointment Aversion and Asset Prices},
  author={Bryan R. Routledge and STANLEY E. ZIN},
  year={2003}
}
We characterize generalized disappointment aversion (GDA) risk preferences that can overweight lower-tail outcomes relative to expected utility. We show in an endowment economy that recursive utility with GDA risk preferences generates effective risk aversion that is countercyclical. This feature comes from endogenous variation in the probability of disappointment in the representative agent’s intertemporal consumption-saving problem that underlies the asset pricing model. The variation in… CONTINUE READING
Highly Influential
This paper has highly influenced 10 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 61 citations. REVIEW CITATIONS
48 Citations
26 References
Similar Papers

Citations

Publications citing this paper.

62 Citations

0510'02'05'09'13'17
Citations per Year
Semantic Scholar estimates that this publication has 62 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 26 references

A preference regime model of null and bear markets

  • Gordon, Stephen, Pascal St-Amour
  • American Economic Review
  • 2000

Asset prices, consumption, and the business cycle, in John B. Taylor and Michael Woodford, eds.: Handbook of Macroeconomics Vol. 1 (North Holland, Amsterdam)

  • Campbell, Y John
  • 1999

Similar Papers

Loading similar papers…