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

43

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16,526

SSRN CITATIONS
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725

CROSSREF CITATIONS

2,153

Scholarly Papers (43)

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 1,764 (9,823)
Citation 3

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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
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 391 (81,398)
Citation 11

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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
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 (86,063)
Citation 1

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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
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 (107,341)

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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 806 (32,135)
Citation 11

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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 85 (322,731)

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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 51 (425,064)

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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 50 (428,834)

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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 (484,554)

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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 712 (38,021)
Citation 4

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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 86 (320,369)
Citation 5

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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 57 (403,234)

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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 (558,204)
Citation 15
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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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A Model of Two Days: Discrete News and Asset Prices

Number of pages: 71 Posted: 30 Sep 2017 Last Revised: 22 Apr 2020
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 814 (31,702)

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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 28 (532,607)

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Downloads 732 ( 37,176)

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 635 (44,384)

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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 97 (296,408)

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6.

'Superstitious' Investors

Number of pages: 63 Posted: 04 Oct 2018 Last Revised: 06 Sep 2019
Hongye Guo and Jessica A. Wachter
University of Pennsylvania and University of Pennsylvania - Finance Department
Downloads 658 (42,925)

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Excess volatility, Extrapolative expectations, Rare events, Overconfidence

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 539 (54,946)
Citation 1

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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 111 (269,929)
Citation 3

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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 629 (45,574)
Citation 3

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9.
Downloads 619 ( 46,544)
Citation 4

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, London Business School and University of Pennsylvania - Finance Department
Downloads 603 (47,542)

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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, London Business School and University of Pennsylvania - Finance Department
Downloads 16 (614,153)
Citation 1

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10.
Downloads 593 ( 49,223)
Citation 6

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 Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 517 (57,934)

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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 Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 63 (383,284)

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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 Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 13 (636,511)
Citation 4

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Cross-Sectional Skewness

Number of pages: 45 Posted: 05 Dec 2017 Last Revised: 07 Dec 2019
Sangmin Oh and Jessica A. Wachter
University of Chicago - Booth School of Business and University of Pennsylvania - Finance Department
Downloads 567 (52,339)

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rare events, jumps, idiosyncratic volatility, power law

A Retrieved-Context Theory of Financial Decisions

10th Miami Behavioral Finance Conference
Number of pages: 79 Posted: 06 Nov 2019 Last Revised: 08 Jul 2020
Jessica A. Wachter and Michael J. Kahana
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology
Downloads 527 (56,557)

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Memory, Context, Under-reaction, Financial Disasters

A Retrieved-Context Theory of Financial Decisions

NBER Working Paper No. w26200
Number of pages: 59 Posted: 03 Sep 2019
Jessica A. Wachter and Michael J. Kahana
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology
Downloads 6 (690,444)
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13.
Downloads 533 ( 56,391)
Citation 66

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 503 (59,953)
Citation 13

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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 30 (520,906)

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14.
Downloads 502 ( 60,758)

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 493 (61,527)

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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, London Business School and University of Pennsylvania - Finance Department
Downloads 9 (667,053)

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15.
Downloads 445 ( 70,518)
Citation 9

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 425 (73,851)

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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 20 (585,687)
Citation 3

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16.
Downloads 444 ( 70,691)
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 277 (119,843)
Citation 27

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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 44 (452,941)

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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 43 (457,302)

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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 (461,621)

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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 38 (479,793)

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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 (78,174)
Citation 2

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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

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18.
Downloads 400 ( 80,046)
Citation 19

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 Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 385 (82,905)
Citation 19

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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 Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 15 (621,560)

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19.

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 397 (80,722)
Citation 97

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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 284 (116,714)
Citation 29

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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 64 (380,008)

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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 (520,906)
Citation 24
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Value, growth, duration, habit formation

21.

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 331 (99,318)
Citation 6

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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 250 (133,393)
Citation 8

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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 33 (504,574)

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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 232 (143,754)
Citation 2

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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 46 (444,691)
Citation 62

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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 185 (178,026)

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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 20 (585,687)

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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 (636,511)

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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 (636,511)

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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 (644,285)

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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
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 207 (160,431)

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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
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 2 (727,413)
Citation 2

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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 (193,817)

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27.
Downloads 164 (197,812)

Risks to Human Capital

Number of pages: 84 Posted: 05 Sep 2019 Last Revised: 07 Jul 2020
Mehran Ebrahimian and Jessica A. Wachter
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 157 (205,569)

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Financing Frictions, Rare Events, Moral Hazard

Risks to Human Capital

NBER Working Paper No. w26823
Number of pages: 78 Posted: 09 Mar 2020
Mehran Ebrahimian and Jessica A. Wachter
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 7 (682,586)
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28.
Downloads 114 (263,506)
Citation 39

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 (353,540)

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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 24 (558,204)
Citation 13

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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 (607,122)

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29.
Downloads 95 (298,301)

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 95 (300,505)

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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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30.
Downloads 81 (329,490)
Citation 34

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
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 45 (448,800)

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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
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 36 (489,376)
Citation 18

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

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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 (509,928)
Citation 7

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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 27 (538,670)

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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 20 (585,687)

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32.

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 (347,069)

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33.

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 72 (352,402)
Citation 10

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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 (509,928)
Citation 1

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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 20 (585,687)

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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
Downloads 18 (599,987)
Citation 1

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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 27 (538,670)
Citation 11

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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 (585,687)

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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 (659,353)

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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 30 (520,906)
Citation 3

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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 (629,074)

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37.

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 39 (465,200)
Citation 4

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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
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 27 (538,670)

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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
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 9 (667,053)
Citation 5

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39.

"Superstitious" Investors

NBER Working Paper No. w25603
Number of pages: 62 Posted: 04 Mar 2019 Last Revised: 27 Mar 2019
Hongye Guo and Jessica A. Wachter
University of Pennsylvania and University of Pennsylvania - Finance Department
Downloads 6 (661,854)
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40.

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 5 (669,239)

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stochastic volatility models, electrophysiology, model-based connectivity, verbal memory

41.

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 (676,675)
Citation 5

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42.

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
Downloads 3 (684,924)
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43.

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

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Other Papers (2)

Total Downloads: 49
1.

Sovereign default and the decline in interest rates

Number of pages: 59
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 35

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2.

Associative Learning and Representativeness

Number of pages: 59 Posted: 12 Jun 2020 Last Revised: 24 Jun 2020
Jessica A. Wachter and Michael J. Kahana
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology
Downloads 14

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Context, Memory, Diagnostic expectations