[Preliminary version: Please do not cite.] This paper analyzes risk attitudes of higher orders such as prudence and temperance in models of reference-dependent preferences. We employ a wide range of exogenous as well as endogenous references and find unexpected results that hold in very general settings. If references are formed endogenously by expectations, reference dependency eliminates third but neither second nor fourth order effects. We further propose an endogenous reference that is shaped by ex-ante distributional regret. It avoids several shortcomings of existing regret theories that are based on the anticipation of ex-post regret and generates equally strong but opposing results as expectational references. Implications of these results for precautionary motives and behavior under background risk are discussed.
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