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

SCHOLARLY PAPERS

33

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11,025

CITATIONS
Rank 438

SSRN RANKINGS

Top 438

in Total Papers Citations

1,068

Scholarly Papers (33)

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
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 1,699 (7,377)
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
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 (62,068)
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 Last Revised: 23 Oct 2010
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 (65,458)
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
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 (82,242)
Citation 58

Abstract:

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 756 (25,832)
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 (263,622)
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 (342,949)
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 (349,250)
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 (397,617)
Citation 15

Abstract:

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 (29,812)
Citation 101

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 (259,596)
Citation 101

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 (333,561)
Citation 101

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 (441,806)
Citation 101
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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.
Downloads 703 ( 29,110)
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 621 (33,907)
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 82 (257,648)
Citation 68

Abstract:

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 (43,547)
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 (216,837)
Citation 29

Abstract:

6.
Downloads 496 ( 46,007)
Citation 22

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 471 (48,547)
Citation 22

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 25 (436,249)
Citation 22

Abstract:

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 401 (59,333)
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.
Downloads 395 ( 61,022)
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 265 (95,517)
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 (366,383)
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 (385,355)
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 (397,617)
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 20 (464,834)
Citation 22

Abstract:

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 (93,653)
Citation 109

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 (321,379)
Citation 109

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 (410,846)
Citation 109
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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 (65,849)
Citation 116

Abstract:

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 298 (83,891)

Abstract:

Expected Default, Bond Issuance, Business Cycles, Disaster Risk

Cyclical Dispersion in Expected Defaults

NBER Working Paper No. w23704
Number of pages: 51 Posted: 21 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 8 (533,806)
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Abstract:

12.
Downloads 300 ( 84,033)
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 234 (109,361)
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 (310,308)
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 (539,157)
Citation 2

Abstract:

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 265 (95,517)

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 (488,075)

Abstract:

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 241 (105,541)

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 29 (415,632)
Citation 3

Abstract:

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 (115,719)
Citation 54

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 (370,054)
Citation 55

Abstract:

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 (140,453)
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 (476,547)
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 (511,563)
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 (511,563)
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 (517,270)
Citation 43

Abstract:

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 209 (122,436)

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 (554,534)
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Abstract:

18.

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 (150,270)
Citation 5

Abstract:

19.
Downloads 106 (215,727)
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 (287,803)
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 (453,268)
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 (488,075)
Citation 37

Abstract:

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 (410,846)
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 (441,806)
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 (476,547)
Citation 92

Abstract:

21.
Downloads 66 (289,205)
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 66 (292,638)
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:

22.

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 (275,635)

Abstract:

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 (370,054)

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 (459,022)
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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:

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 (415,632)
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 (482,389)
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 (499,901)
Citation 5

Abstract:

25.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698
Number of pages: 67 Posted: 31 Jan 2009 Last Revised: 31 Aug 2010
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 53 (301,097)
Citation 30

Abstract:

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 (436,249)
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 (476,547)
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 (528,287)
Citation 92

Abstract:

27.

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 (61,201)

Abstract:

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 (441,806)
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 (505,610)
Citation 43

Abstract:

29.

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 (384,560)
Citation 12

Abstract:

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 (464,834)
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 (554,534)
Citation 2

Abstract:

31.

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 (308,793)

Abstract:

rare events, recursive utility, factor models

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
Downloads 0 (541,518)
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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: