Using the non-expected recursive utility function of Epstein and Zin (1989), this paper re-examines the connection between the expectations hypothesis of the term structure theory and risk neutrality in three-date general equilibria. Major findings are: (i) To generate stochastic future interest rates in risk neutral economies, disentangling agents' two disparate preference components - intertemporal substitution and risk aversion - is critically important; (ii) As a result, term premia are non-zero and thus the expectations hypothesis does not hold under risk neutrality. These non-zero term premia are characterized as compensations for the investor being averse to intertemporal substitution.