NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Jessica Wachter

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

April 2014Rare Booms and Disasters in a Multi-sector Endowment Economy
with Jerry Tsai: w20062
November 2013Maximum likelihood estimation of the equity premium
with Efstathios Avdis: w19684
Option Prices in a Model with Stochastic Disaster Risk
with Sang Byung Seo: w19611
August 2011What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio
with Missaka Warusawitharana: w17334

What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio, with Missaka Warusawitharana, forthcoming, Journal of Econometrics.

August 2010Why Do Household Portfolio Shares Rise in Wealth?
with Motohiro Yogo: w16316

Published: Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 23(11), pages 3929-3965, November. citation courtesy of

Asset Allocation
w16255

Published: Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December. citation courtesy of

January 2009The Term Structures of Equity and Interest Rates
with Martin Lettau: w14698

Published: Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July. citation courtesy of

October 2008Using Samples of Unequal Length in Generalized Method of Moments Estimation
with Anthony W. Lynch: w14411

Published: Lynch, Anthony W. & Wachter, Jessica A., 2013. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(01), pages 277-307, February. citation courtesy of

Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
w14386

Published: Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, 06. citation courtesy of

June 2007Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
with Missaka Warusawitharana: w13165

Published: Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February. citation courtesy of

August 2005Solving Models with External Habit
w11559

Published: Wachter, Jessica A. "Solving Models With External Habit," Finance Research Letters, 2005, v2(4,Dec), 210-226. citation courtesy of

February 2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
with Martin Lettau: w11144

Published: Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, 02. citation courtesy of

August 2004Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements
with Malcolm Baker, Lubomir Litov, Jeffrey Wurgler: w10685

Published: Baker, Malcolm, Lubomir Litov, Jessica A. Wachter, and Jeffrey Wurgler, "Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements", Journal of Financial and Quantitative Analysis, Volume 45 - Issue 05. (2010) citation courtesy of

February 2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
with Martin Lettau, Sydney C. Ludvigson: w10270

Published:

November 2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
with Antonios Sangvinatsos: w10086

Published: Sangvinatsos, Antonios and Jessica A. Wachter. "Does The Failure Of The Expectations Hypothesis Matter For Long-Term Investors?," Journal of Finance, 2005, v60(1,Feb), 179-230. citation courtesy of

April 1999Bayesian Performance Evaluation
with Klaas Baks, Andrew Metrick: w7069

Published: Newly titled "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation", Journal of Finance (February 2001).

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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