Author Page for Jessica A. Wachter

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

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Citation 76

4

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 1,798 (13,186)

Citation 4

Abstract:

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 395 (104,897)

Citation 14

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: 14 Mar 2021

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 382 (109,025)

Citation 11

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 309 (137,603)

Abstract:

2.

A Model of Two Days: Discrete News and Asset Prices

Downloads 1,317 ( 21,542)

2

A Model of Two Days: Discrete News and Asset Prices

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 89 Posted: 30 Sep 2017 Last Revised: 20 Mar 2021

Jessica A. Wachter and Yicheng Zhu

University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department

Downloads 1,257 (22,733)

Abstract:

The Macroeconomic Announcement Premium

NBER Working Paper No. w24432

Number of pages: 52 Posted: 26 Mar 2018 Last Revised: 04 Apr 2022

Jessica A. Wachter and Yicheng Zhu

University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department

Downloads 60 (490,716)

Abstract:

3.

Does Mutual Fund Performance Vary Over the Business Cycle?

Downloads 1,108 ( 27,822)

Citation 9

5

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 865 (38,907)

Citation 12

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 91 (388,193)

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 59 (494,712)

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 52 (524,800)

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 41 (579,688)

Abstract:

4.

A Retrieved-Context Theory of Financial Decisions

Downloads 1,002 ( 32,087)

Citation 2

2

A Retrieved-Context Theory of Financial Decisions

10th Miami Behavioral Finance Conference

Number of pages: 104 Posted: 06 Nov 2019 Last Revised: 14 Jan 2021

Jessica A. Wachter and Michael J. Kahana

University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology

Downloads 979 (32,687)

Abstract:

A Retrieved-Context Theory of Financial Decisions

NBER Working Paper No. w26200

Number of pages: 59 Posted: 03 Sep 2019 Last Revised: 04 Aug 2022

Jessica A. Wachter and Michael J. Kahana

University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology

Downloads 23 (699,615)

Citation 1

Abstract:

5.

'Superstitious' Investors

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 74 Posted: 04 Oct 2018 Last Revised: 07 Sep 2021

Hongye Guo and Jessica A. Wachter

University of Pennsylvania and University of Pennsylvania - Finance Department

Downloads 972 (33,524)

Abstract:

6.

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

Downloads 895 ( 37,654)

Citation 134

5

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 723 (49,514)

Citation 4

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: 25 Jul 2022

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 88 (396,442)

Citation 10

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 59 (494,712)

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 25 (683,562)

Citation 20

Add to Cart

Abstract:

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:

7.

Cross-Sectional Skewness

Number of pages: 67 Posted: 05 Dec 2017 Last Revised: 14 Jun 2021

Sangmin Oh, Sangmin Oh and Jessica A. Wachter

University of Chicago - Booth School of BusinessUniversity of Chicago, Booth School of Business, Finance, Students and University of Pennsylvania - Finance Department

Downloads 789 (44,684)

Abstract:

8.

Bayesian Performance Evaluation

Downloads 785 ( 44,958)

2

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 665 (55,281)

Abstract:

Bayesian Performance Evaluation

NBER Working Paper No. w7069

Number of pages: 57 Posted: 12 Jul 2000 Last Revised: 27 Apr 2022

Klaas Baks, Jessica A. Wachter and Andrew Metrick

Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management

Downloads 120 (321,828)

Abstract:

9.

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

The Wharton School Research Paper No. 73, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 83 Posted: 22 Dec 2014 Last Revised: 12 Aug 2020

Mete Kilic and Jessica A. Wachter

University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department

Downloads 694 (53,036)

Citation 3

Abstract:

10.

Option Prices in a Model with Stochastic Disaster Risk

Downloads 686 ( 53,835)

Citation 22

3

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 76, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 67 Posted: 26 Jan 2015 Last Revised: 12 Aug 2020

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 602 (62,845)

Citation 17

Abstract:

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 Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 68 (460,057)

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

NBER Working Paper No. w19611

Number of pages: 63 Posted: 09 Nov 2013 Last Revised: 03 Aug 2022

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 16 (760,571)

Citation 3

Abstract:

11.

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

Downloads 669 ( 55,587)

Citation 49

2

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 555 (69,675)

Citation 1

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 Last Revised: 23 Jun 2022

Jessica A. Wachter and Missaka Warusawitharana

University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System

Downloads 114 (333,793)

Citation 5

Abstract:

12.

Cyclical Dispersion in Expected Defaults

Downloads 658 ( 56,765)

Citation 8

2

Cyclical Dispersion in Expected Defaults

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 61 Posted: 10 Apr 2017 Last Revised: 11 Aug 2020

Joao F. Gomes, Marco Grotteria and Jessica A. Wachter

The Wharton School, London Business School and University of Pennsylvania - Finance Department

Downloads 631 (59,127)

Citation 3

Abstract:

Cyclical Dispersion in Expected Defaults

NBER Working Paper No. w23704

Number of pages: 51 Posted: 21 Aug 2017 Last Revised: 09 Apr 2022

Joao F. Gomes, Marco Grotteria and Jessica A. Wachter

The Wharton School, London Business School and University of Pennsylvania - Finance Department

Downloads 27 (668,192)

Abstract:

13.

Learning with Rare Disasters

Number of pages: 64 Posted: 25 Jun 2019 Last Revised: 05 Sep 2019

Jessica A. Wachter and Yicheng Zhu

University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department

Downloads 648 (57,893)

Citation 7

Abstract:

14.

Foreseen Risks

Downloads 637 ( 59,161)

2

Foreseen Risks

Number of pages: 67 Posted: 12 Jan 2018 Last Revised: 22 Apr 2020

Joao F. Gomes, Marco Grotteria and Jessica A. Wachter

The Wharton School, London Business School and University of Pennsylvania - Finance Department

Downloads 620 (60,526)

Abstract:

Foreseen Risks

NBER Working Paper No. w25277

Number of pages: 66 Posted: 19 Nov 2018 Last Revised: 27 Jul 2022

Joao F. Gomes, Marco Grotteria and Jessica A. Wachter

The Wharton School, London Business School and University of Pennsylvania - Finance Department

Downloads 17 (751,483)

Abstract:

15.

Why Do Household Portfolio Shares Rise in Wealth?

Downloads 559 ( 69,823)

Citation 69

2

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 526 (74,576)

Citation 10

Abstract:

Why Do Household Portfolio Shares Rise in Wealth?

NBER Working Paper No. w16316

Number of pages: 58 Posted: 30 Aug 2010 Last Revised: 01 Aug 2022

Jessica A. Wachter and Motohiro Yogo

University of Pennsylvania - Finance Department and Princeton University - Department of Economics

Downloads 33 (626,784)

Citation 19

Abstract:

16.

Maximum Likelihood Estimation of the Equity Premium

Downloads 547 ( 71,793)

Citation 12

2

Maximum Likelihood Estimation of the Equity Premium

The Wharton School Research Paper No. 57, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 69 Posted: 30 May 2014 Last Revised: 12 Aug 2020

Efstathios Avdis and Jessica A. Wachter

University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department

Downloads 526 (74,576)

Citation 4

Abstract:

Maximum Likelihood Estimation of the Equity Premium

NBER Working Paper No. w19684

Number of pages: 68 Posted: 28 Nov 2013 Last Revised: 15 Apr 2022

Efstathios Avdis and Jessica A. Wachter

University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department

Downloads 21 (716,496)

Citation 4

Abstract:

17.

Do Rare Events Explain CDX Tranche Spreads?

Downloads 473 ( 85,726)

Citation 23

2

Do Rare Events Explain CDX Tranche Spreads?

Forthcoming, Journal of Finance, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 90 Posted: 19 Sep 2016 Last Revised: 11 Aug 2020

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 456 (88,776)

Citation 18

Abstract:

Do Rare Events Explain Cdx Tranche Spreads?

NBER Working Paper No. w22723

Number of pages: 78 Posted: 10 Oct 2016 Last Revised: 04 Aug 2022

Sang Byung Seo and Jessica A. Wachter

University of Wisconsin - Madison and University of Pennsylvania - Finance Department

Downloads 17 (751,483)

Citation 11

Abstract:

18.

Habit Formation and Returns on Bonds and Stocks

Downloads 467 ( 87,075)

Citation 20

5

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 287 (148,695)

Citation 30

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 53 (520,270)

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 45 (558,519)

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 43 (568,931)

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 39 (590,667)

Abstract:

19.

Sovereign Default and the Decline in Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 63 Posted: 08 Sep 2020 Last Revised: 25 Apr 2022

Max Miller, James D. Paron and Jessica A. Wachter

University of Pennsylvania, The Wharton School, Finance Department, University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department

Downloads 421 (98,222)

Citation 1

Abstract:

20.

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

Downloads 419 ( 98,782)

Citation 3

2

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 419 (97,935)

Citation 3

Abstract:

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

Posted: 12 Dec 2001

Jessica A. Wachter

University of Pennsylvania - Finance Department

Abstract:

21.

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 415 (99,863)

Citation 121

Abstract:

22.

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

Downloads 406 (102,397)

Citation 176

3

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 291 (146,520)

Citation 33

Abstract:

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 Last Revised: 15 Jun 2022

Jessica A. Wachter and Martin Lettau

University of Pennsylvania - Finance Department and University of California - Haas School of Business

Downloads 85 (404,971)

Abstract:

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

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 (646,689)

Citation 34

Add to Cart

Abstract:

23.

Risks to Human Capital

Downloads 368 (114,588)

2

Risks to Human Capital

Number of pages: 84 Posted: 05 Sep 2019 Last Revised: 07 Jul 2020

Mehran Ebrahimian and Jessica A. Wachter

Stockholm School of Economics and University of Pennsylvania - Finance Department

Downloads 358 (117,351)

Abstract:

Risks to Human Capital

NBER Working Paper No. w26823

Number of pages: 78 Posted: 09 Mar 2020 Last Revised: 17 Apr 2022

Mehran Ebrahimian and Jessica A. Wachter

Stockholm School of Economics and University of Pennsylvania - Finance Department

Downloads 10 (820,175)

Abstract:

24.

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

Downloads 307 (139,289)

Citation 295

2

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 246 (173,571)

Citation 2

Abstract:

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 Last Revised: 24 Apr 2022

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 61 (486,649)

Citation 119

Abstract:

25.

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

Downloads 287 (149,424)

Citation 17

2

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 254 (168,248)

Citation 8

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 Last Revised: 14 May 2022

Jessica A. Wachter and Missaka Warusawitharana

University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System

Downloads 33 (626,784)

Citation 1

Abstract:

26.

Is The United States A Lucky Survivor: A Hierarchical Bayesian Approach

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 68 Posted: 10 Sep 2020 Last Revised: 17 Mar 2022

Jules H. van Binsbergen, Sophia Hua and Jessica A. Wachter

University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department

Downloads 276 (155,321)

Citation 2

Abstract:

27.

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

Downloads 265 (161,896)

5

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

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 192 (219,399)

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 23 (699,615)

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 17 (751,483)

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 17 (751,483)

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 16 (760,571)

Abstract:

28.

Pricing Long-Lived Securities in Dynamic Endowment Economies

Downloads 237 (180,494)

Citation 4

2

Pricing Long-Lived Securities in Dynamic Endowment Economies

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 48 Posted: 21 Apr 2017 Last Revised: 11 Aug 2020

Jerry Tsai, Jerry Tsai and Jessica A. Wachter

Pacific Investment Management Company (PIMCO)University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Downloads 229 (186,091)

Citation 1

Abstract:

Pricing Long-Lived Securities in Dynamic Endowment Economies

NBER Working Paper No. w24641

Number of pages: 49 Posted: 30 May 2018 Last Revised: 01 May 2022

Jerry Tsai, Jerry Tsai and Jessica A. Wachter

Pacific Investment Management Company (PIMCO)University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Downloads 8 (841,527)

Citation 1

Abstract:

29.

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 175 (237,755)

Abstract:

30.

Memory of Past Experiences and Economic Decisions

Number of pages: 66 Posted: 28 Jan 2022

Ulrike Malmendier and Jessica A. Wachter

University of California, Berkeley - Department of Economics and University of Pennsylvania - Finance Department

Downloads 173 (240,078)

Abstract:

31.

Risk Aversion and Allocation to Long-Term Bonds

Downloads 123 (314,655)

Citation 40

3

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 75 (435,976)

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 30 (646,689)

Citation 13

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 18 (742,423)

Abstract:

32.

Asset Allocation

Downloads 107 (346,709)

2

Asset Allocation

NBER Working Paper No. w16255

Number of pages: 53 Posted: 10 Aug 2010 Last Revised: 02 Jun 2022

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 107 (349,018)

Citation 2

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:

33.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698

Number of pages: 67 Posted: 31 Jan 2009 Last Revised: 28 Feb 2022

Martin Lettau and Jessica A. Wachter

University of California - Haas School of Business and University of Pennsylvania - Finance Department

Downloads 88 (392,823)

Citation 17

Abstract:

34.

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

Downloads 87 (395,504)

Citation 9

3

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 33 (626,784)

Citation 7

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 28 (660,840)

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 26 (675,818)

Abstract:

35.

Disaster Risk and its Implications for Asset Pricing

Downloads 84 (403,932)

Citation 39

3

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, Jerry Tsai and Jessica A. Wachter

Pacific Investment Management Company (PIMCO)University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Downloads 46 (553,423)

Abstract:

Disaster Risk and its Implications for Asset Pricing

NBER Working Paper No. w20926

Number of pages: 62 Posted: 09 Feb 2015 Last Revised: 07 Mar 2021

Jerry Tsai, Jerry Tsai and Jessica A. Wachter

Pacific Investment Management Company (PIMCO)University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Downloads 38 (596,285)

Citation 23

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, Jerry Tsai and Jessica A. Wachter

Pacific Investment Management Company (PIMCO)University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

36.

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 77 (424,817)

Abstract:

37.

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Downloads 72 (440,631)

Citation 16

3

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 32 (633,117)

Citation 1

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 Last Revised: 19 May 2022

Anthony W. Lynch and Jessica A. Wachter

New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department

Downloads 22 (708,099)

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 18 (742,423)

Citation 1

Abstract:

38.

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

Downloads 62 (475,812)

Citation 11

3

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 30 (646,689)

Citation 12

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 21 (716,496)

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 11 (809,850)

Abstract:

39.

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

Downloads 55 (503,266)

Citation 68

2

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: 23 Jan 2022

Antonios A. Sangvinatsos and Jessica A. Wachter

New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department

Downloads 40 (585,187)

Citation 4

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 15 (770,040)

Abstract:

40.

Solving Models with External Habit

NBER Working Paper No. w11559

Number of pages: 27 Posted: 28 Sep 2005 Last Revised: 03 Aug 2022

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 46 (542,978)

Citation 9

Abstract:

41.

Rare Booms and Disasters in a Multi-Sector Endowment Economy

Downloads 40 (572,823)

Citation 26

2

Rare Booms and Disasters in a Multi-Sector Endowment Economy

The Wharton School Research Paper No. 43, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper

Number of pages: 87 Posted: 29 Jan 2014

Jerry Tsai, Jerry Tsai and Jessica A. Wachter

Pacific Investment Management Company (PIMCO)University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Downloads 31 (639,807)

Citation 5

Abstract:

Rare Booms and Disasters in a Multi-Sector Endowment Economy

NBER Working Paper No. w20062

Number of pages: 87 Posted: 21 Apr 2014 Last Revised: 27 Apr 2022

Jerry Tsai, Jerry Tsai and Jessica A. Wachter

Pacific Investment Management Company (PIMCO)University of Oxford - Department of Economics and University of Pennsylvania - Finance Department

Downloads 9 (830,672)

Citation 3

Abstract:

42.

Multivariate Stochastic Volatility Modeling of Neural Data

Number of pages: 37 Posted: 02 Aug 2019

Tung Phan, Jessica A. Wachter, Ethan A. Solomon and Michael J. Kahana

Department of Psychology, University of Pennsylvania - Finance Department, University of Pennsylvania - Department of Bioengineering and University of Pennsylvania - Department of Psychology

Downloads 17 (726,681)

Abstract:

43.

Cross-Sectional Skewness

NBER Working Paper No. w25113

Number of pages: 49 Posted: 01 Oct 2018 Last Revised: 04 Mar 2022

Simon Oh and Jessica A. Wachter

University of Chicago and University of Pennsylvania - Finance Department

Downloads 12 (771,305)

Abstract:

44.

"Superstitious" Investors

NBER Working Paper No. w25603

Number of pages: 62 Posted: 04 Mar 2019 Last Revised: 17 Jun 2022

Hongye Guo and Jessica A. Wachter

University of Pennsylvania and University of Pennsylvania - Finance Department

Downloads 8 (810,292)

Abstract:

45.

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 Last Revised: 15 Jun 2022

Mete Kilic and Jessica A. Wachter

University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department

Downloads 7 (820,527)

Citation 9

Abstract:

46.

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

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

Jessica A. Wachter

University of Pennsylvania - Finance Department

Professor of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (46)

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

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

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