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

41

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14,693

CITATIONS
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309

Scholarly Papers (41)

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1.

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

Downloads 2,816 ( 3,993)
Citation 40

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 1,746 (8,742)
Citation 2

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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 390 (73,267)
Citation 58

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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
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 373 (77,187)
Citation 8

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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 307 (96,536)

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2.

Does Mutual Fund Performance Vary Over the Business Cycle?

Downloads 1,010 ( 21,012)
Citation 8

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 792 (29,261)
Citation 9

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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 83 (297,365)

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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 49 (393,328)

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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 49 (393,328)

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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 37 (440,606)

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3.

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

Downloads 860 ( 26,526)
Citation 66

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 702 (34,534)

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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 82 (299,602)
Citation 2

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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 52 (382,966)

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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 (507,455)
Citation 135
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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

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4.

Bayesian Performance Evaluation

Downloads 726 ( 33,475)

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 633 (39,689)

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Bayesian Performance Evaluation

NBER Working Paper No. w7069
Number of pages: 57 Posted: 12 Jul 2000 Last Revised: 16 Apr 2008
Klaas Baks, Jessica A. Wachter and Andrew Metrick
Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management
Downloads 93 (276,587)

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5.

The Macroeconomic Announcement Premium

Downloads 678 ( 36,797)

The Macroeconomic Announcement Premium

Number of pages: 64 Posted: 30 Sep 2017 Last Revised: 23 Feb 2019
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 656 (37,824)

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rare disasters, regime shifts, learning

The Macroeconomic Announcement Premium

NBER Working Paper No. w24432
Number of pages: 52 Posted: 26 Mar 2018
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 22 (519,909)
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6.

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

Downloads 635 ( 40,117)
Citation 22

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 527 (50,514)

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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: 28 Aug 2007
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 108 (249,689)
Citation 51

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7.

Cyclical Dispersion in Expected Defaults

Downloads 587 ( 44,588)
Citation 3

Cyclical Dispersion in Expected Defaults

Number of pages: 61 Posted: 10 Apr 2017 Last Revised: 17 Mar 2018
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 573 (45,365)

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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 14 (571,445)
Citation 4

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8.

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: 83 Posted: 22 Dec 2014 Last Revised: 22 Nov 2017
Mete Kilic and Jessica A. Wachter
University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department
Downloads 586 (44,690)
Citation 2

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9.

Option Prices in a Model with Stochastic Disaster Risk

Downloads 519 ( 52,126)
Citation 1

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 76
Number of pages: 67 Posted: 26 Jan 2015 Last Revised: 22 Nov 2017
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Downloads 448 (62,024)

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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 62 (351,037)

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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 9 (605,150)
Citation 2

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10.

Why Do Household Portfolio Shares Rise in Wealth?

Downloads 519 ( 52,126)
Citation 27

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 491 (55,264)
Citation 63

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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 28 (483,995)

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11.

Habit Formation and Returns on Bonds and Stocks

Downloads 423 ( 67,139)
Citation 18

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 271 (110,394)
Citation 25

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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 42 (419,735)

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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 39 (431,898)

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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 37 (440,606)

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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 34 (453,823)

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12.

Cross-Sectional Skewness

Number of pages: 35 Posted: 05 Dec 2017 Last Revised: 20 Jun 2019
Sangmin Oh and Jessica A. Wachter
University of Chicago - Booth School of Business and University of Pennsylvania - Finance Department
Downloads 420 (67,690)

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long-term returns, idiosyncratic risk, power laws, invariance

13.

Maximum Likelihood Estimation of the Equity Premium

Downloads 411 ( 69,526)
Citation 3

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 393 (72,626)

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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 18 (545,460)
Citation 8

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14.

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

Downloads 405 ( 70,825)

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 405 (70,175)
Citation 3

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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

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15.

Foreseen Risks

Downloads 404 ( 71,216)

Foreseen Risks

Number of pages: 65 Posted: 12 Jan 2018 Last Revised: 10 Jul 2019
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 395 (72,411)

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Credit Bubbles, Financial intermediaries, Financial Crises, Risk Shifting

Foreseen Risks

NBER Working Paper No. w25277
Number of pages: 66 Posted: 19 Nov 2018
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 9 (605,150)
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16.

'Superstitious' Investors

Number of pages: 64 Posted: 04 Oct 2018 Last Revised: 18 Jul 2019
Hongye Guo and Jessica A. Wachter
University of Pennsylvania and University of Pennsylvania - Finance Department
Downloads 397 (72,447)

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Excess volatility, Extrapolative expectations, Rare events, Overconfidence

17.

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 385 (75,112)
Citation 239

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18.

Do Rare Events Explain CDX Tranche Spreads?

Downloads 377 ( 76,894)
Citation 9

Do Rare Events Explain CDX Tranche Spreads?

Forthcoming, Journal of Finance
Number of pages: 90 Posted: 19 Sep 2016 Last Revised: 02 Mar 2019
Sang Byung Seo and Jessica A. Wachter
University of Houston - C.T. Bauer College of Business and University of Pennsylvania - Finance Department
Downloads 364 (79,474)
Citation 9

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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 13 (578,008)

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19.

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

Downloads 369 ( 78,890)
Citation 99

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 280 (106,582)
Citation 63

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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 Last Revised: 15 Jun 2005
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 59 (360,066)
Citation 1

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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 (473,382)
Citation 140
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Value, growth, duration, habit formation

20.

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

Downloads 280 (107,135)
Citation 13

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 248 (121,110)
Citation 7

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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 32 (463,186)
Citation 12

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21.

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

Downloads 272 (110,566)
Citation 90

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 227 (132,473)
Citation 1

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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 45 (408,021)
Citation 228

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22.

A Retrieved-Context Theory of Financial Decisions

Number of pages: 56 Posted: 26 Feb 2019 Last Revised: 12 Jul 2019
Jessica A. Wachter and Michael J. Kahana
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology
Downloads 241 (125,225)

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Memory, Context, Momentum, Financial Disasters

23.

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

Downloads 239 (126,294)

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 182 (163,433)

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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 19 (539,002)

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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 13 (578,008)

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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 13 (578,008)

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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 12 (584,762)

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24.

Pricing Long-Lived Securities in Dynamic Endowment Economies

Downloads 199 (150,514)
Citation 1

Pricing Long-Lived Securities in Dynamic Endowment Economies

Number of pages: 48 Posted: 21 Apr 2017 Last Revised: 19 May 2018
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 197 (151,853)

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rare events, recursive utility, factor models

Pricing Long-Lived Securities in Dynamic Endowment Economies

NBER Working Paper No. w24641
Number of pages: 49 Posted: 30 May 2018
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 2 (660,769)
Citation 1
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25.

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 168 (175,427)

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26.

Risk Aversion and Allocation to Long-Term Bonds

Downloads 113 (240,484)
Citation 23

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 73 (321,174)

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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 23 (513,582)
Citation 36

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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 17 (551,911)

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27.

Asset Allocation

Downloads 86 (288,375)

Asset Allocation

NBER Working Paper No. w16255
Number of pages: 53 Posted: 10 Aug 2010 Last Revised: 16 Aug 2010
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 86 (290,869)

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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

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28.

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

Downloads 75 (312,892)
Citation 4

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 31 (468,297)
Citation 3

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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 25 (501,426)

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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 19 (539,002)

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29.

Disaster Risk and its Implications for Asset Pricing

Downloads 74 (315,311)
Citation 11

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 43 (415,811)

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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 31 (468,297)
Citation 24

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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

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30.

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 74 (315,311)

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31.

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 67 (332,915)
Citation 60

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32.

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Downloads 67 (332,915)
Citation 4

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 31 (468,297)
Citation 15

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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 18 (545,460)

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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
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33.

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

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Citation 6

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 26 (495,378)
Citation 3

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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 20 (532,545)

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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 10 (598,311)

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34.

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

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Citation 31

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
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Citation 78

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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 14 (571,445)

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35.

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 37 (431,013)
Citation 43

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36.

Learning with Rare Disasters

Number of pages: 60 Posted: 25 Jun 2019
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
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37.

Rare Booms and Disasters in a Multi-Sector Endowment Economy

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Citation 12

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
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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 7 (618,897)
Citation 21

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38.

'Superstitious' Investors

NBER Working Paper No. w25603
Number of pages: 62 Posted: 04 Mar 2019 Last Revised: 27 Mar 2019
Guo Hongye and Jessica A. Wachter
University of Pennsylvania and University of Pennsylvania - Finance Department
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39.

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: 01 Oct 2015
Mete Kilic and Jessica A. Wachter
University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department
Downloads 4 (612,793)
Citation 5

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40.

Cross-Sectional Skewness

NBER Working Paper No. w25113
Number of pages: 49 Posted: 01 Oct 2018
Simon Oh and Jessica A. Wachter
University of Chicago and University of Pennsylvania - Finance Department
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41.

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

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