In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment related factors are also priced. They can be interpreted as a disappointment, a market downside, and a volatility downside factor, respectively. We find that stock returns reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent with the theoretical predictions. Economic magnitudes suggest that long/short strategies on associated exposures earn more than 5% per annum, and these rewards are not explained by the coskewness, size, value, and momentum factors.