This paper presents a theory of intertemporal choice based on utility from anticipation of future consumption. Following psychological and neural evidence, the model posits that decision makers (i) initially focus on the most tempting alternative in their choice set, and (ii) experience gain-loss utility from looking forward to future consumption. In the model, when evaluating a consumption stream, the decision maker chooses a level of anticipation each period, and anticipatory utility exhibits reference dependence with respect to the decision maker’s previous level of anticipation. The model provides an account for a large collection of existing empirical and experimental evidence on intertemporal choice as well as makes new predictions. First, the model implies empirical patterns such as declining discount rates, the magnitude effect, the sign effect, and the delay-speedup asymmetry. Second, it provides an explanation for why choice-based methods for eliciting discount rates lead to larger estimates than matching-based methods. Third, it predicts a relationship between small-scale risk aversion and various patterns of intertemporal choice. Finally, it provides precise conditions for the presence of two phenomena where existing evidence has been mixed: when decision makers would prefer increasing or decreasing sequences of consumption outcomes, and when discount rates exhibit subadditivity.

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