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Risk Premia: Short and Long-Term
2012
Social Science Research Network
Hansen (2011) considers risks associated with cash flows at alternative horizons. He shows that in the long run many investor preference specifications do not imply risk premia substantially different from those implied by simple expected utility model. The main result of this paper is that the generalized disappointment aversion model of Routledge & Zin (2010) amplifies risk premium not only in the short run but also for assets that pay off long into the future. The reason behind this result
doi:10.2139/ssrn.1987644
fatcat:fzkxqnwaiffnxdvlsgxtcymkcy