We propose an asset pricing model where preferences display generalized disappointment aversion (as in Routledge and Zin 2009) and the endowment process involves long-run volatility risk. Those preferences, which are embedded in Epstein and Zin recursive utility framework, overweight disappointing results as compared to expected utility, and display relatively larger risk aversion for small gambles. Our endowment process has only one of the two sources of long-run risks proposed by Bansal and Yaron (2004) (BY): the volatility risk. We approximate the endowment process with a Markov switching model. This enables us to derive closed formula solutions for all returns moments and predictability regressions.The model produces asset returns moments and predictability patterns in line with the data. Compared to BY we generate: i) more predictability of excess returns by price-dividend ratios; ii) less predictability of consumption growth rates by price-dividend ratios. Differently from BY model, our results do not depend on IES being greater than one: similar results may be obtained with IES lower than one. Our results are not due to overparametrization of preferences either: simple disappointment averse with two paramters, where risk aversion comes only from disappointment aversion generates similar implications.