This paper develops an overlapping-generations economy where the agents forecast future variance with the RiskMetrics variance model. I show that this feature induces a two-factor asset pricing model in which risk premiums are determined by both the market beta and the “RiskMetrics beta” (this latter results from an interaction between the past returns of the asset and the market). I confirm this prediction by estimating the model with panel regressions; importantly, the RiskMetrics beta provides a direct estimate of the relative risk aversion. The predicted range is consistence with previous studies. Furthermore, this effect is found in each of the major financial markets, except in Europe. The RiskMetrics anomaly is stronger when the forecasting horizon is short. The effect is robust to the three Fama-French factors and the Momentum factor.