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Jessica A. Wachter

University of Pennsylvania - Finance Department

Professor of Finance

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of Pennsylvania - Finance Department

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

36

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12,274

CITATIONS
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1,071

Scholarly Papers (36)

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1.

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

Downloads 2,775 ( 3,515)
Citation 57

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 1,715 (7,854)
Citation 57

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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 386 (66,341)
Citation 57

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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 370 (69,738)
Citation 57

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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 304 (87,512)
Citation 57

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2.

Does Mutual Fund Performance Vary Over the Business Cycle?

Downloads 974 ( 19,595)
Citation 15

Does Mutual Fund Performance Vary Over the Business Cycle?

AFA 2004 San Diego Meetings
Number of pages: 21 Posted: 29 Nov 2003
Anthony W. Lynch, Jessica A. Wachter and Walter Boudry
New York University (NYU) - Department of Finance, University of Pennsylvania - Finance Department and New York University (NYU) - Department of Finance
Downloads 767 (27,215)
Citation 15

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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 80 (276,757)
Citation 15

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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 48 (362,064)
Citation 15

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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 46 (368,728)
Citation 15

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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 33 (419,158)
Citation 15

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3.

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

Downloads 847 ( 24,009)
Citation 101

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 691 (31,359)
Citation 101

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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 81 (274,621)
Citation 101

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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 51 (352,368)
Citation 101

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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 (464,536)
Citation 101
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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 707 ( 30,933)
Citation 67

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 623 (36,187)
Citation 67

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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 84 (268,541)
Citation 67

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5.

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

Downloads 619 ( 37,044)
Citation 29

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

AFA 2006 Boston Meetings Paper
Number of pages: 53 Posted: 19 Mar 2005
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 513 (46,640)
Citation 29

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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 106 (229,827)
Citation 29

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6.

Why Do Household Portfolio Shares Rise in Wealth?

Downloads 503 ( 48,388)
Citation 22

Why Do Household Portfolio Shares Rise in Wealth?

Review of Financial Studies, Vol. 23, No. 11, 2010, AFA 2008 New Orleans Meetings Paper
Number of pages: 57 Posted: 16 Mar 2007 Last Revised: 13 Dec 2011
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 477 (51,157)
Citation 22

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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 26 (453,249)
Citation 22

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7.

Cyclical Dispersion in Expected Defaults

Downloads 456 ( 54,771)

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 445 (55,850)

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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 11 (541,600)
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8.

Option Prices in a Model with Stochastic Disaster Risk

Downloads 415 ( 61,617)
Citation 2

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 346 (75,728)
Citation 2

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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 61 (322,607)
Citation 2

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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 8 (558,745)
Citation 2

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9.

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

Downloads 403 ( 63,669)
Citation 98

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 403 (63,061)
Citation 98

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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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10.

Habit Formation and Returns on Bonds and Stocks

Downloads 399 ( 64,434)
Citation 22

Habit Formation and Returns on Bonds and Stocks

Number of pages: 42 Posted: 12 Mar 2001
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 265 (101,740)
Citation 22

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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 41 (386,608)
Citation 22

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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 36 (406,478)
Citation 22

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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 33 (419,158)
Citation 22

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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 24 (464,536)
Citation 22

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11.

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

Downloads 363 ( 72,005)
Citation 109

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 275 (97,863)
Citation 109

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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 58 (330,946)
Citation 109

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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 (432,781)
Citation 109
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Value, growth, duration, habit formation

12.

Maximum Likelihood Estimation of the Equity Premium

Downloads 360 ( 72,713)

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 343 (76,253)

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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 17 (505,912)

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13.

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

Rodney L. White Center for Financial Research Working Paper No. 27-04
Number of pages: 52 Posted: 11 Sep 2004
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 349 (68,829)
Citation 115

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14.

Do Rare Events Explain CDX Tranche Spreads?

Downloads 302 ( 88,716)

Do Rare Events Explain CDX Tranche Spreads?

Forthcoming, Journal of Finance
Number of pages: 90 Posted: 19 Sep 2016 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 297 (89,887)

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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 5 (575,330)
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15.

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

Downloads 273 ( 99,075)
Citation 3

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

AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 20 Mar 2007 Last Revised: 06 Jun 2013
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 243 (111,323)

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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 30 (432,781)
Citation 3

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16.

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

Downloads 263 (103,011)
Citation 55

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 221 (122,625)
Citation 54

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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 42 (382,940)
Citation 55

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17.

The Macroeconomic Announcement Premium

Downloads 247 (111,364)

The Macroeconomic Announcement Premium

Number of pages: 51 Posted: 30 Sep 2017 Last Revised: 19 Mar 2018
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 227 (120,969)

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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 20 (487,991)
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18.

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

Downloads 234 (116,272)
Citation 43

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

AFA 2004 San Diego Meetings
Number of pages: 62 Posted: 28 Nov 2003
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 181 (148,304)
Citation 43

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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 18 (500,002)
Citation 43

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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 12 (535,695)
Citation 43

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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 12 (535,695)
Citation 43

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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 11 (541,600)
Citation 43

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19.

Generalized Method of Moments for Samples of Unequal Length

AFA 2005 Philadelphia Meetings Paper
Number of pages: 51 Posted: 16 Jan 2005
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 155 (159,417)
Citation 5

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20.

Risk Aversion and Allocation to Long-Term Bonds

Downloads 107 (227,061)
Citation 37

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. S-CDM-01-10
Number of pages: 8 Posted: 05 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 69 (301,772)
Citation 37

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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 22 (476,190)
Citation 37

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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 16 (511,666)
Citation 37

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21.

Asset Allocation

Downloads 74 (286,887)
Citation 3

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 74 (289,886)
Citation 3

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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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22.

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

Downloads 72 (291,387)
Citation 93

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

NYU Working Paper No. S-AM-00-07
Number of pages: 31 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 30 (432,781)
Citation 93

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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 24 (464,536)
Citation 93

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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 18 (500,002)
Citation 93

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23.

Disaster Risk and its Implications for Asset Pricing

Downloads 64 (310,503)

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 41 (386,608)

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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 23 (470,393)

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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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24.

Maximum Likelihood Estimation of the Equity Premium

The Wharton School Research Paper No. 54
Number of pages: 48 Posted: 23 Nov 2013
Efstathios Avdis and Jessica A. Wachter
University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department
Downloads 62 (289,116)

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25.

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Downloads 61 (318,370)
Citation 5

Using Samples of Unequal Length in Generalized Method of Moments Estimation

NYU Working Paper No. FIN-08-018
Number of pages: 47 Posted: 09 Mar 2009 Last Revised: 13 Dec 2011
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 29 (437,586)
Citation 5

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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 17 (505,912)
Citation 5

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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 15 (517,737)
Citation 5

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26.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698
Number of pages: 67 Posted: 31 Jan 2009 Last Revised: 31 Aug 2010
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 53 (313,124)
Citation 30

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27.

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

Downloads 53 (340,727)
Citation 93

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

NYU Working Paper No. S-AM-01-10
Number of pages: 36 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 25 (458,850)
Citation 93

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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 19 (494,143)
Citation 93

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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 9 (553,060)
Citation 93

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28.

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 44 (46,071)

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29.

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

Downloads 37 (393,638)
Citation 43

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

NBER Working Paper No. w10086
Number of pages: 62 Posted: 16 Nov 2003 Last Revised: 25 Jul 2010
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 24 (464,536)
Citation 43

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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 13 (529,632)
Citation 43

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30.

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
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Citation 12

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31.

Rare Booms and Disasters in a Multi-Sector Endowment Economy

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Citation 3

Rare Booms and Disasters in a Multi-Sector Endowment Economy

The Wharton School Research Paper No. 43
Number of pages: 87 Posted: 29 Jan 2014
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
Downloads 20 (487,991)
Citation 3

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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
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Citation 3

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32.

Foreseen Risks

Number of pages: 41 Posted: 12 Jan 2018 Last Revised: 25 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
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financial crisis, risk shifting, rare disasters

33.

Pricing Long-Lived Securities in Dynamic Endowment Economies

Number of pages: 39 Posted: 21 Apr 2017 Last Revised: 08 Aug 2017
Jerry Tsai and Jessica A. Wachter
University of Oxford - Department of Economics and University of Pennsylvania - Finance Department
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rare events, recursive utility, factor models

34.

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
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35.

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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36.

Cross-Sectional Skewness

Number of pages: 36 Posted: 05 Dec 2017
Sangmin Oh and Jessica A. Wachter
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
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long-term returns, idiosyncratic risk, power laws, invariance