Author Page for Jessica A. Wachter

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

Downloads 2,835 ( 4,556)

Citation 70

4

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

Number of pages: 29 Posted: 03 Mar 2005 Last Revised: 13 Dec 2011

Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler

Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business

Downloads 1,764 (9,823)

Citation 3

Abstract:

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

NYU Working Paper No. SC-AM-05-02

Number of pages: 31 Posted: 04 Nov 2008

Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler

Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business

Downloads 391 (81,398)

Citation 11

Abstract:

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

NBER Working Paper No. w10685

Number of pages: 31 Posted: 08 Sep 2004 Last Revised: 23 Oct 2010

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 (86,063)

Citation 1

Abstract:

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

NYU Working Paper No. FIN-04-015

Number of pages: 31 Posted: 03 Nov 2008

Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler

Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business

Downloads 307 (107,341)

Abstract:

2.

Does Mutual Fund Performance Vary Over the Business Cycle?

Downloads 1,029 ( 22,983)

Citation 8

5

Does Mutual Fund Performance Vary Over the Business Cycle?

AFA 2004 San Diego Meetings

Number of pages: 21 Posted: 29 Nov 2003

Anthony W. Lynch, Jessica A. Wachter and Walter Boudry

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

Downloads 806 (32,135)

Citation 11

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. S-MF-03-01

Number of pages: 21 Posted: 12 Nov 2008

Anthony W. Lynch, Jessica A. Wachter and Walter Boudry

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

Downloads 85 (322,731)

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. S-DRP-03-04

Number of pages: 22 Posted: 07 Nov 2008

Walter Boudry, Anthony W. Lynch and Jessica A. Wachter

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

Downloads 51 (425,064)

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. FIN-03-005

Number of pages: 22 Posted: 03 Nov 2008

Anthony W. Lynch, Jessica A. Wachter and Walter Boudry

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

Downloads 50 (428,834)

Abstract:

Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. SC-AM-03-03

Number of pages: 21 Posted: 04 Nov 2008

Anthony W. Lynch and Jessica A. Wachter

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

Downloads 37 (484,554)

Abstract:

3.

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

Downloads 879 ( 28,869)

Citation 125

5

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

AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper

Number of pages: 59 Posted: 12 Aug 2004

Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson

University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics

Downloads 712 (38,021)

Citation 4

Abstract:

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

NBER Working Paper No. w10270

Number of pages: 62 Posted: 25 May 2006 Last Revised: 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

Abstract:

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

NYU Working Paper No. S-MF-04-08

Number of pages: 46 Posted: 12 Nov 2008

Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter

University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

Downloads 57 (403,234)

Abstract:

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

CEPR Discussion Paper No. 5519

Number of pages: 49 Posted: 09 Jun 2006

Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson

University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics

Downloads 24 (558,204)

Citation 15

Add to Cart

Abstract:

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

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1653-1687, 2008

Posted: 08 Aug 2008

Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter

University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

4.

A Model of Two Days: Discrete News and Asset Prices

Downloads 842 ( 30,714)

2

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)

Abstract:

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)

Abstract:

5.

Bayesian Performance Evaluation

Downloads 732 ( 37,176)

2

Bayesian Performance Evaluation

Number of pages: 56 Posted: 23 Apr 1999

Klaas Baks, Jessica A. Wachter and Andrew Metrick

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

Downloads 635 (44,384)

Abstract:

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)

Abstract:

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)

Abstract:

7.

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

Downloads 650 ( 43,643)

Citation 45

2

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

AFA 2006 Boston Meetings Paper

Number of pages: 53 Posted: 19 Mar 2005

Jessica A. Wachter and Missaka Warusawitharana

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

Downloads 539 (54,946)

Citation 1

Abstract:

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

NBER Working Paper No. w13165

Number of pages: 62 Posted: 27 Jun 2007 Last Revised: 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

Abstract:

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 629 (45,574)

Citation 3

Abstract:

9.

Cyclical Dispersion in Expected Defaults

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Citation 4

2

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)

Abstract:

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

Abstract:

10.

Option Prices in a Model with Stochastic Disaster Risk

Downloads 593 ( 49,223)

Citation 6

3

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)

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 55

Number of pages: 71 Posted: 22 Oct 2013

Sang Byung Seo and Jessica A. Wachter

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

Downloads 63 (383,284)

Abstract:

Option Prices in a Model with Stochastic Disaster Risk

NBER Working Paper No. w19611

Number of pages: 63 Posted: 09 Nov 2013

Sang Byung Seo and Jessica A. Wachter

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

Downloads 13 (636,511)

Citation 4

Abstract:

11.

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)

Abstract:

12.

A Retrieved-Context Theory of Financial Decisions

Downloads 533 ( 56,391)

2

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)

Abstract:

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)

Add to Cart

Abstract:

13.

Why Do Household Portfolio Shares Rise in Wealth?

Downloads 533 ( 56,391)

Citation 66

2

Why Do Household Portfolio Shares Rise in Wealth?

Review of Financial Studies, Vol. 23, No. 11, 2010, AFA 2008 New Orleans Meetings Paper

Number of pages: 57 Posted: 16 Mar 2007 Last Revised: 13 Dec 2011

Jessica A. Wachter and Motohiro Yogo

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

Downloads 503 (59,953)

Citation 13

Abstract:

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)

Abstract:

14.

Foreseen Risks

Downloads 502 ( 60,758)

2

Foreseen Risks

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

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

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

Downloads 493 (61,527)

Abstract:

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)

Abstract:

15.

Maximum Likelihood Estimation of the Equity Premium

Downloads 445 ( 70,518)

Citation 9

2

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)

Abstract:

Maximum Likelihood Estimation of the Equity Premium

NBER Working Paper No. w19684

Number of pages: 68 Posted: 28 Nov 2013

Efstathios Avdis and Jessica A. Wachter

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

Downloads 20 (585,687)

Citation 3

Abstract:

16.

Habit Formation and Returns on Bonds and Stocks

Downloads 444 ( 70,691)

Citation 18

5

Habit Formation and Returns on Bonds and Stocks

Number of pages: 42 Posted: 12 Mar 2001

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 277 (119,843)

Citation 27

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-AM-01-04

Number of pages: 40 Posted: 13 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 44 (452,941)

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-MF-02-04

Number of pages: 40 Posted: 12 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 43 (457,302)

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-CDM-01-06

Number of pages: 40 Posted: 05 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 42 (461,621)

Abstract:

Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. FIN-01-024

Number of pages: 40 Posted: 03 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 38 (479,793)

Abstract:

17.

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

Downloads 405 ( 78,887)

2

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

Number of pages: 36 Posted: 26 Nov 2001

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 405 (78,174)

Citation 2

Abstract:

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

Posted: 12 Dec 2001

Jessica A. Wachter

University of Pennsylvania - Finance Department

Abstract:

18.

Do Rare Events Explain CDX Tranche Spreads?

Downloads 400 ( 80,046)

Citation 19

2

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

Abstract:

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)

Abstract:

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

Abstract:

20.

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

Downloads 378 ( 85,458)

Citation 159

3

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

Number of pages: 61 Posted: 04 Feb 2005

Martin Lettau and Jessica A. Wachter

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

Downloads 284 (116,714)

Citation 29

Abstract:

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

NBER Working Paper No. w11144

Number of pages: 61 Posted: 16 Mar 2005 Last Revised: 15 Jun 2005

Jessica A. Wachter and Martin Lettau

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

Downloads 64 (380,008)

Abstract:

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

Number of pages: 63 Posted: 15 Jun 2005

Jessica A. Wachter and Martin Lettau

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

Downloads 30 (520,906)

Citation 24

Add to Cart

Abstract:

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

Abstract:

22.

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

Downloads 283 (117,776)

Citation 16

2

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

AFA 2008 New Orleans Meetings Paper

Number of pages: 63 Posted: 20 Mar 2007 Last Revised: 06 Jun 2013

Jessica A. Wachter and Missaka Warusawitharana

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

Downloads 250 (133,393)

Citation 8

Abstract:

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

NBER Working Paper No. w17334

Number of pages: 67 Posted: 29 Aug 2011

Jessica A. Wachter and Missaka Warusawitharana

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

Downloads 33 (504,574)

Abstract:

23.

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

Downloads 278 (120,033)

Citation 244

2

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

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper

Number of pages: 70 Posted: 18 Mar 2010 Last Revised: 08 Aug 2012

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 232 (143,754)

Citation 2

Abstract:

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

NBER Working Paper No. w14386

Number of pages: 70 Posted: 10 Oct 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 46 (444,691)

Citation 62

Abstract:

24.

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

Downloads 243 (137,854)

5

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

Number of pages: 62 Posted: 28 Nov 2003

Antonios A. Sangvinatsos and Jessica A. Wachter

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

Downloads 185 (178,026)

Abstract:

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

NYU Working Paper No. S-MF-03-02

Number of pages: 61 Posted: 12 Nov 2008

Antonios A. Sangvinatsos and Jessica A. Wachter

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

Downloads 20 (585,687)

Abstract:

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

NYU Working Paper No. SC-AM-03-02

Number of pages: 61 Posted: 04 Nov 2008

Antonios A. Sangvinatsos and Jessica A. Wachter

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

Downloads 13 (636,511)

Abstract:

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

NYU Working Paper No. S-DRP-03-02

Number of pages: 62 Posted: 07 Nov 2008

Antonios A. Sangvinatsos and Jessica A. Wachter

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

Downloads 13 (636,511)

Abstract:

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

NYU Working Paper No. FIN-03-003

Number of pages: 62 Posted: 03 Nov 2008

Antonios A. Sangvinatsos and Jessica A. Wachter

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

Downloads 12 (644,285)

Abstract:

25.

Pricing Long-Lived Securities in Dynamic Endowment Economies

Downloads 209 (159,245)

Citation 3

2

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)

Abstract:

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

Abstract:

26.

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)

Abstract:

27.

Risks to Human Capital

Downloads 164 (197,812)

2

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)

Abstract:

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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Abstract:

28.

Risk Aversion and Allocation to Long-Term Bonds

Downloads 114 (263,506)

Citation 39

3

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. S-CDM-01-10

Number of pages: 8 Posted: 05 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 73 (353,540)

Abstract:

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. S-MF-01-05

Number of pages: 8 Posted: 12 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 24 (558,204)

Citation 13

Abstract:

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. FIN-01-067

Number of pages: 8 Posted: 03 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 17 (607,122)

Abstract:

29.

Asset Allocation

Downloads 95 (298,301)

2

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)

Abstract:

Asset Allocation

Annual Review of Financial Economics, Vol. 2, pp. 175-206, 2010

Posted: 12 Nov 2010

Jessica A. Wachter

University of Pennsylvania - Finance Department

Abstract:

30.

Disaster Risk and its Implications for Asset Pricing

Downloads 81 (329,490)

Citation 34

3

Disaster Risk and its Implications for Asset Pricing

The Wharton School Research Paper No. 77

Number of pages: 61 Posted: 28 Jan 2015

Jerry Tsai and Jessica A. Wachter

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

Downloads 45 (448,800)

Abstract:

Disaster Risk and its Implications for Asset Pricing

NBER Working Paper No. w20926

Number of pages: 62 Posted: 09 Feb 2015

Jerry Tsai and Jessica A. Wachter

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

Downloads 36 (489,376)

Citation 18

Abstract:

Disaster Risk and its Implications for Asset Pricing

Annual Review of Financial Economics, Vol. 7, pp. 219-252, 2015

Posted: 11 Dec 2015

Jerry Tsai and Jessica A. Wachter

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

Abstract:

31.

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

Downloads 80 (334,306)

Citation 9

3

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

NYU Working Paper No. S-AM-00-07

Number of pages: 31 Posted: 13 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 33 (509,928)

Citation 7

Abstract:

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

NYU Working Paper No. FIN-00-027

Number of pages: 31 Posted: 04 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 27 (538,670)

Abstract:

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

NYU Working Paper No. S-MF-00-05

Number of pages: 31 Posted: 12 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 20 (585,687)

Abstract:

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)

Abstract:

33.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698

Number of pages: 67 Posted: 31 Jan 2009 Last Revised: 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

Abstract:

34.

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Downloads 70 (357,905)

Citation 15

3

Using Samples of Unequal Length in Generalized Method of Moments Estimation

NYU Working Paper No. FIN-08-018

Number of pages: 47 Posted: 09 Mar 2009 Last Revised: 13 Dec 2011

Anthony W. Lynch and Jessica A. Wachter

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

Downloads 32 (509,928)

Citation 1

Abstract:

Using Samples of Unequal Length in Generalized Method of Moments Estimation

NBER Working Paper No. w14411

Number of pages: 47 Posted: 23 Oct 2008

Anthony W. Lynch and Jessica A. Wachter

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

Downloads 20 (585,687)

Abstract:

Using Samples of Unequal Length in Generalized Method of Moments Estimation

NYU Working Paper No. FIN-05-021

Number of pages: 63 Posted: 03 Nov 2008

Anthony W. Lynch and Jessica A. Wachter

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

Downloads 18 (599,987)

Citation 1

Abstract:

35.

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

Downloads 57 (397,329)

Citation 10

3

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

NYU Working Paper No. S-AM-01-10

Number of pages: 36 Posted: 13 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 27 (538,670)

Citation 11

Abstract:

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

NYU Working Paper No. S-MF-01-04

Number of pages: 36 Posted: 12 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 20 (585,687)

Abstract:

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

NYU Working Paper No. FIN-01-055

Number of pages: 36 Posted: 03 Nov 2008

Jessica A. Wachter

University of Pennsylvania - Finance Department

Downloads 10 (659,353)

Abstract:

36.

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

Downloads 44 (444,336)

Citation 67

2

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

NBER Working Paper No. w10086

Number of pages: 62 Posted: 16 Nov 2003 Last Revised: 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

Abstract:

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

NYU Working Paper No. S-CDM-03-13

Number of pages: 66 Posted: 05 Nov 2008

Antonios A. Sangvinatsos and Jessica A. Wachter

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

Downloads 14 (629,074)

Abstract:

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

Abstract:

38.

Rare Booms and Disasters in a Multi-Sector Endowment Economy

Downloads 36 (478,396)

Citation 22

2

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)

Abstract:

Rare Booms and Disasters in a Multi-Sector Endowment Economy

NBER Working Paper No. w20062

Number of pages: 87 Posted: 21 Apr 2014

Jerry Tsai and Jessica A. Wachter

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

Downloads 9 (667,053)

Citation 5

Abstract:

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

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Abstract:

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)

Abstract:

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

Abstract:

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

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Abstract:

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

Jessica A. Wachter

University of Pennsylvania - Finance Department

Professor of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (43)

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

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A Retrieved-Context Theory of Financial Decisions

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

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