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Jessica A. Wachter

University of Pennsylvania - Finance Department

Professor of Finance

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of Pennsylvania - Finance Department

    • Email
    • Tel: 215-898-7634
    • Fax: 215-898-6200
SCHOLARLY PAPERS

33

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CITATIONS
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1,066

Scholarly Papers (33)

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1.

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

Downloads 2,755 ( 3,222)
Citation 58

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

Number of pages: 29 Posted: 03 Mar 2005 Last Revised: 13 Dec 2011
Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 1,697 (7,301)
Citation 58

Abstract:

Mutual fund, performance evaluation

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

NYU Working Paper No. SC-AM-05-02
Number of pages: 31 Posted: 04 Nov 2008
Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 386 (61,534)
Citation 58

Abstract:

Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements

NBER Working Paper No. w10685
Number of pages: 31 Posted: 08 Sep 2004
Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 369 (64,848)
Citation 58

Abstract:

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

NYU Working Paper No. FIN-04-015
Number of pages: 31 Posted: 03 Nov 2008
Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 303 (81,464)
Citation 58

Abstract:

2.

Does Mutual Fund Performance Vary over the Business Cycle?

Downloads 958 ( 18,369)
Citation 15

Does Mutual Fund Performance Vary over the Business Cycle?

AFA 2004 San Diego Meetings
Number of pages: 21 Posted: 29 Nov 2003
Anthony W. Lynch, Jessica A. Wachter and Walter Boudry
New York University (NYU) - Department of Finance, University of Pennsylvania - Finance Department and New York University (NYU) - Department of Finance
Downloads 752 (25,740)
Citation 15

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. S-MF-03-01
Number of pages: 21 Posted: 12 Nov 2008
Anthony W. Lynch, Jessica A. Wachter and Walter Boudry
New York University (NYU) - Department of Finance, University of Pennsylvania - Finance Department and New York University (NYU) - Department of Finance
Downloads 79 (261,439)
Citation 15

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. FIN-03-005
Number of pages: 22 Posted: 03 Nov 2008
Anthony W. Lynch, Jessica A. Wachter and Walter Boudry
New York University (NYU) - Department of Finance, University of Pennsylvania - Finance Department and New York University (NYU) - Department of Finance
Downloads 48 (340,347)
Citation 15

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. S-DRP-03-04
Number of pages: 22 Posted: 07 Nov 2008
Walter Boudry, Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 46 (346,501)
Citation 15

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. SC-AM-03-03
Number of pages: 21 Posted: 04 Nov 2008
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 33 (394,552)
Citation 15

Abstract:

3.

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

Downloads 838 ( 22,375)
Citation 102

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper
Number of pages: 59 Posted: 12 Aug 2004
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 682 (29,537)
Citation 102

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NBER Working Paper No. w10270
Number of pages: 62 Posted: 25 May 2006 Last Revised: 26 Jul 2010
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 81 (257,448)
Citation 102

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NYU Working Paper No. S-MF-04-08
Number of pages: 46 Posted: 12 Nov 2008
Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 51 (330,861)
Citation 102

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

CEPR Discussion Paper No. 5519
Number of pages: 49 Posted: 09 Jun 2006
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 24 (438,534)
Citation 102
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Abstract:

Equity premium, macroeconomic volatility, stock market boom, regime shifts

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1653-1687, 2008
Posted: 08 Aug 2008
Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

G12

4.

Bayesian Performance Evaluation

Downloads 697 ( 29,148)
Citation 68

Bayesian Performance Evaluation

Number of pages: 56 Posted: 23 Apr 1999
Klaas Baks, Jessica A. Wachter and Andrew Metrick
Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management
Downloads 619 (33,721)
Citation 68

Abstract:

Bayesian Performance Evaluation

NBER Working Paper No. w7069
Number of pages: 57 Posted: 12 Jul 2000
Klaas Baks, Jessica A. Wachter and Andrew Metrick
Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management
Downloads 78 (263,479)
Citation 68

Abstract:

5.

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

Downloads 619 ( 34,218)
Citation 29

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

AFA 2006 Boston Meetings Paper
Number of pages: 53 Posted: 19 Mar 2005
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 513 (43,194)
Citation 29

Abstract:

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

NBER Working Paper No. w13165
Number of pages: 62 Posted: 27 Jun 2007
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 106 (215,053)
Citation 29

Abstract:

6.

Why Do Household Portfolio Shares Rise in Wealth?

Downloads 494 ( 45,837)
Citation 21

Why Do Household Portfolio Shares Rise in Wealth?

Review of Financial Studies, Vol. 23, No. 11, 2010, AFA 2008 New Orleans Meetings Paper
Number of pages: 57 Posted: 16 Mar 2007 Last Revised: 13 Dec 2011
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 470 (48,244)
Citation 21

Abstract:

Decreasing relative risk aversion, Engel curves, Life-cycle model, Nonhomothetic utility, Portfolio choice

Why Do Household Portfolio Shares Rise in Wealth?

NBER Working Paper No. w16316
Number of pages: 58 Posted: 30 Aug 2010 Last Revised: 26 Sep 2010
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 24 (438,534)
Citation 21

Abstract:

7.

Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets

Downloads 400 ( 59,561)
Citation 97

Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets

Number of pages: 36 Posted: 26 Nov 2001
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 400 (58,972)
Citation 97

Abstract:

Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 12 Dec 2001
Jessica A. Wachter
University of Pennsylvania - Finance Department

Abstract:

8.

Habit Formation and Returns on Bonds and Stocks

Downloads 393 ( 60,823)
Citation 22

Habit Formation and Returns on Bonds and Stocks

Number of pages: 42 Posted: 12 Mar 2001
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 264 (95,088)
Citation 22

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-CDM-01-06
Number of pages: 40 Posted: 05 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 41 (363,503)
Citation 22

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. FIN-01-024
Number of pages: 40 Posted: 03 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 36 (382,307)
Citation 22

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-AM-01-04
Number of pages: 40 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 33 (394,552)
Citation 22

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-MF-02-04
Number of pages: 40 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 19 (467,352)
Citation 22

Abstract:

9.

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Downloads 355 ( 68,512)
Citation 108

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Number of pages: 61 Posted: 04 Feb 2005
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 270 (92,838)
Citation 108

Abstract:

Value, Growth, duration, habit formation

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

NBER Working Paper No. w11144
Number of pages: 61 Posted: 16 Mar 2005
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 55 (318,857)
Citation 108

Abstract:

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

CEPR Discussion Paper No. 4921
Number of pages: 63 Posted: 15 Jun 2005
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 30 (407,719)
Citation 108
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Abstract:

Value, growth, duration, habit formation

10.

A Consumption-Based Model of the Term Structure of Interest Rates

Rodney L. White Center for Financial Research Working Paper No. 27-04
Number of pages: 52 Posted: 11 Sep 2004
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 349 (65,259)
Citation 116

Abstract:

11.

Option Prices in a Model with Stochastic Disaster Risk

Downloads 275 ( 91,460)
Citation 2

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 76
Number of pages: 66 Posted: 26 Jan 2015 Last Revised: 03 Aug 2017
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Downloads 209 (120,825)
Citation 2

Abstract:

implied volatilities, consumption disasters, jump-diffusions

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 55
Number of pages: 71 Posted: 22 Oct 2013
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Downloads 59 (307,800)
Citation 2

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

NBER Working Paper No. w19611
Number of pages: 63 Posted: 09 Nov 2013
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Downloads 7 (535,531)
Citation 2

Abstract:

12.

Maximum Likelihood Estimation of the Equity Premium

Downloads 272 ( 92,595)

Maximum Likelihood Estimation of the Equity Premium

The Wharton School Research Paper No. 57
Number of pages: 69 Posted: 30 May 2014 Last Revised: 04 Oct 2016
Efstathios Avdis and Jessica A. Wachter
University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department
Downloads 256 (98,162)

Abstract:

Maximum Likelihood Estimation of the Equity Premium

NBER Working Paper No. w19684
Number of pages: 68 Posted: 28 Nov 2013
Efstathios Avdis and Jessica A. Wachter
University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department
Downloads 16 (484,582)

Abstract:

13.

What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

Downloads 268 ( 94,048)
Citation 3

What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 20 Mar 2007 Last Revised: 06 Jun 2013
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 240 (105,062)

Abstract:

What is the Chance that the Equity Premium Varies Over Time? Evidence from Regressions on the Dividend-Price Ratio

NBER Working Paper No. w17334
Number of pages: 67 Posted: 29 Aug 2011
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 28 (417,235)
Citation 3

Abstract:

14.

Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

Downloads 260 ( 97,062)
Citation 54

Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 70 Posted: 18 Mar 2010 Last Revised: 08 Aug 2012
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 220 (114,719)
Citation 53

Abstract:

Rare disasters, Peso problem, Excess volatility

Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

NBER Working Paper No. w14386
Number of pages: 70 Posted: 10 Oct 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 40 (367,129)
Citation 54

Abstract:

15.

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

Downloads 233 (108,851)
Citation 43

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

AFA 2004 San Diego Meetings
Number of pages: 62 Posted: 28 Nov 2003
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 180 (139,283)
Citation 43

Abstract:

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. S-MF-03-02
Number of pages: 61 Posted: 12 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 18 (473,109)
Citation 43

Abstract:

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. SC-AM-03-02
Number of pages: 61 Posted: 04 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 12 (508,021)
Citation 43

Abstract:

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. S-DRP-03-02
Number of pages: 62 Posted: 07 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 12 (508,021)
Citation 43

Abstract:

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. FIN-03-003
Number of pages: 62 Posted: 03 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 11 (513,781)
Citation 43

Abstract:

16.

Do Rare Events Explain CDX Tranche Spreads?

Downloads 206 (122,924)

Do Rare Events Explain CDX Tranche Spreads?

Number of pages: 83 Posted: 19 Sep 2016 Last Revised: 25 Mar 2017
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Downloads 202 (124,826)

Abstract:

disaster risk, financial crisis, collateralized debt obligations

Do Rare Events Explain Cdx Tranche Spreads?

NBER Working Paper No. w22723
Number of pages: 78 Posted: 10 Oct 2016 Last Revised: 15 Oct 2016
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Downloads 4 (550,771)
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Abstract:

17.

Generalized Method of Moments for Samples of Unequal Length

AFA 2005 Philadelphia Meetings Paper
Number of pages: 51 Posted: 16 Jan 2005
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 155 (151,347)
Citation 5

Abstract:

18.

Risk Aversion and Allocation to Long-Term Bonds

Downloads 106 (213,971)
Citation 37

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. S-CDM-01-10
Number of pages: 8 Posted: 05 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 68 (285,488)
Citation 37

Abstract:

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. S-MF-01-05
Number of pages: 8 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 22 (449,919)
Citation 37

Abstract:

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. FIN-01-067
Number of pages: 8 Posted: 03 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 16 (484,582)
Citation 37

Abstract:

19.

Optimal Consumption and Portfolio Allocation Under Mean-Reverting Returns: An Exact Solution for Complete Markets

Downloads 72 (273,497)
Citation 92

Optimal Consumption and Portfolio Allocation Under Mean-Reverting Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-AM-00-07
Number of pages: 31 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 30 (407,719)
Citation 92

Abstract:

Optimal Consumption and Portfolio Allocation Under Mean-Reverting Returns: An Exact Solution for Complete Markets

NYU Working Paper No. FIN-00-027
Number of pages: 31 Posted: 04 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 24 (438,534)
Citation 92

Abstract:

Optimal Consumption and Portfolio Allocation Under Mean-Reverting Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-MF-00-05
Number of pages: 31 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 18 (473,109)
Citation 92

Abstract:

20.

Asset Allocation

Downloads 65 (289,262)
Citation 3

Asset Allocation

NBER Working Paper No. w16255
Number of pages: 53 Posted: 10 Aug 2010
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 65 (292,755)
Citation 3

Abstract:

Asset Allocation

Annual Review of Financial Economics, Vol. 2, pp. 175-206, 2010
Posted: 12 Nov 2010
Jessica A. Wachter
University of Pennsylvania - Finance Department

Abstract:

21.

Maximum Likelihood Estimation of the Equity Premium

The Wharton School Research Paper No. 54
Number of pages: 48 Posted: 23 Nov 2013
Efstathios Avdis and Jessica A. Wachter
University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department
Downloads 62 (275,631)

Abstract:

22.

Disaster Risk and its Implications for Asset Pricing

Downloads 61 (298,771)

Disaster Risk and its Implications for Asset Pricing

The Wharton School Research Paper No. 77
Number of pages: 61 Posted: 28 Jan 2015
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 40 (367,129)

Abstract:

Disaster Risk and its Implications for Asset Pricing

NBER Working Paper No. w20926
Number of pages: 62 Posted: 09 Feb 2015
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 21 (455,673)
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Abstract:

Disaster Risk and its Implications for Asset Pricing

Annual Review of Financial Economics, Vol. 7, pp. 219-252, 2015
Posted: 11 Dec 2015
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

23.

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Downloads 60 (301,220)
Citation 5

Using Samples of Unequal Length in Generalized Method of Moments Estimation

NYU Working Paper No. FIN-08-018
Number of pages: 47 Posted: 09 Mar 2009 Last Revised: 13 Dec 2011
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 29 (412,464)
Citation 5

Abstract:

Using Samples of Unequal Length in Generalized Method of Moments Estimation

NBER Working Paper No. w14411
Number of pages: 47 Posted: 23 Oct 2008
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 17 (478,974)
Citation 5

Abstract:

Using Samples of Unequal Length in Generalized Method of Moments Estimation

NYU Working Paper No. FIN-05-021
Number of pages: 63 Posted: 03 Nov 2008
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 14 (496,392)
Citation 5

Abstract:

24.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698
Number of pages: 67 Posted: 31 Jan 2009
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 53 (301,220)
Citation 29

Abstract:

25.

Portfolio and Consumption Decisions Under Mean-Revering Returns: An Exact Solution for Complete Markets

Downloads 52 (322,766)
Citation 92

Portfolio and Consumption Decisions Under Mean-Revering Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-AM-01-10
Number of pages: 36 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 25 (432,960)
Citation 92

Abstract:

Portfolio and Consumption Decisions Under Mean-Revering Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-MF-01-04
Number of pages: 36 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 18 (473,109)
Citation 92

Abstract:

Portfolio and Consumption Decisions Under Mean-Revering Returns: An Exact Solution for Complete Markets

NYU Working Paper No. FIN-01-055
Number of pages: 36 Posted: 03 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 9 (524,803)
Citation 92

Abstract:

26.

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility

The Wharton School Research Paper No. 73
Number of pages: 80 Posted: 22 Dec 2014 Last Revised: 13 Jun 2017
Mete Kilic and Jessica A. Wachter
University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department
Downloads 44 (65,052)

Abstract:

27.

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

Downloads 37 (370,395)
Citation 43

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

NBER Working Paper No. w10086
Number of pages: 62 Posted: 16 Nov 2003 Last Revised: 25 Jul 2010
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 24 (438,534)
Citation 43

Abstract:

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

NYU Working Paper No. S-CDM-03-13
Number of pages: 66 Posted: 05 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 13 (502,109)
Citation 43

Abstract:

28.

Solving Models with External Habit

NBER Working Paper No. w11559
Number of pages: 27 Posted: 28 Sep 2005 Last Revised: 03 Aug 2010
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 34 (381,558)
Citation 12

Abstract:

29.

Rare Booms and Disasters in a Multi-Sector Endowment Economy

Downloads 24 (425,577)
Citation 2

Rare Booms and Disasters in a Multi-Sector Endowment Economy

The Wharton School Research Paper No. 43
Number of pages: 87 Posted: 29 Jan 2014
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 20 (461,391)
Citation 2

Abstract:

Rare Booms and Disasters in a Multi-Sector Endowment Economy

NBER Working Paper No. w20062
Number of pages: 87 Posted: 21 Apr 2014
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 4 (550,771)
Citation 2

Abstract:

30.

Pricing Long-Lived Securities in Dynamic Endowment Economies

Number of pages: 39 Posted: 21 Apr 2017 Last Revised: 08 Aug 2017
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 0 (337,530)

Abstract:

rare events, recursive utility, factor models

31.

Cyclical Dispersion in Expected Defaults

Number of pages: 51 Posted: 10 Apr 2017 Last Revised: 09 Aug 2017
Joao F. Gomes, Marco Grotteria and Jessica A. Wachter
The Wharton School, University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 0 (108,373)

Abstract:

Expected Default, Bond Issuance, Business Cycles, Disaster Risk

32.

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility

NBER Working Paper No. w21575
Number of pages: 63 Posted: 21 Sep 2015
Mete Kilic and Jessica A. Wachter
University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department
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Abstract:

33.

Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation

Journal of Finance, Vol. 56, February 2001
Posted: 13 Jun 2001
Klaas Baks, Jessica A. Wachter and Andrew Metrick
Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management

Abstract:

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